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Firm-specific attributes and the cross-section of momentum

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Cited by:

  1. Paresh Kumar Narayan & Sagarika Mishra & Seema Narayan, 2015. "New empirical evidence on the bid-ask spread," Applied Economics, Taylor & Francis Journals, vol. 47(42), pages 4484-4500, September.
  2. K. J. Hong & S. Satchell, 2015. "Time series momentum trading strategy and autocorrelation amplification," Quantitative Finance, Taylor & Francis Journals, vol. 15(9), pages 1471-1487, September.
  3. Mortal, Sandra C. & Schill, Michael J., 2018. "The role of firm investment in momentum and reversal," Journal of Empirical Finance, Elsevier, vol. 48(C), pages 255-278.
  4. Menkhoff, Lukas & Sarno, Lucio & Schmeling, Maik & Schrimpf, Andreas, 2012. "Currency momentum strategies," Journal of Financial Economics, Elsevier, vol. 106(3), pages 660-684.
  5. Chai, Daniel & Chiah, Mardy & Zhong, Angel & Li, Bob, 2022. "Another look at sources of momentum profits," International Review of Economics & Finance, Elsevier, vol. 79(C), pages 310-323.
  6. Andreas Neuhierl & Michael Weber & Michael Weber, 2017. "Monetary Momentum," CESifo Working Paper Series 6648, CESifo.
  7. Chen, Lemeng & Lazrak, Skander & Wang, Yan & Welch, Robert, 2019. "Pure momentum is priced," Journal of Behavioral and Experimental Finance, Elsevier, vol. 22(C), pages 75-89.
  8. Fernando F. Ferreira & A. Christian Silva & Ju-Yi Yen, 2019. "Detailed study of a moving average trading rule," Papers 1907.00212, arXiv.org.
  9. Park, Jin Suk & Newaz, Mohammad Khaleq, 2021. "Liquidity and short-run predictability: Evidence from international stock markets," Global Finance Journal, Elsevier, vol. 50(C).
  10. Banerjee, Anurag & Hung, Chi-Hsiou, 2011. "Informed momentum trading versus uninformed "naive" investors strategies," Journal of Banking & Finance, Elsevier, vol. 35(11), pages 3077-3089, November.
  11. Sina Ehsani & Juhani T. Linnainmaa, 2019. "Factor Momentum and the Momentum Factor," NBER Working Papers 25551, National Bureau of Economic Research, Inc.
  12. Efdal Ulas Misirli, 2018. "Productivity Risk and Industry Momentum," Financial Management, Financial Management Association International, vol. 47(3), pages 739-774, September.
  13. Lee, Jen-Sin & Huang, Gow-Liang & Kuo, Chin-Tai & Lee, Liang-Chien, 2012. "The momentum effect on Chinese real estate stocks: Evidence from firm performance levels," Economic Modelling, Elsevier, vol. 29(6), pages 2392-2406.
  14. Garcia-Feijoo, Luis & Jensen, Gerald R. & Jensen, Tyler K., 2018. "Momentum and funding conditions," Journal of Banking & Finance, Elsevier, vol. 88(C), pages 312-329.
  15. Adam Zaremba & Jacob Koby Shemer, 2018. "Price-Based Investment Strategies," Springer Books, Springer, number 978-3-319-91530-2, March.
  16. Gu, Li & Huang, Dayong, 2010. "Sales order backlogs and momentum profits," Journal of Banking & Finance, Elsevier, vol. 34(7), pages 1564-1575, July.
  17. Laura Xiaolei Liu & Lu Zhang, 2011. "A Model of Momentum," NBER Working Papers 16747, National Bureau of Economic Research, Inc.
  18. Kyung Shim & Harjoat Bhamra, 2015. "Stochastic Idiosyncratic Operating Risk and Real Options: Implications for Stock Returns," 2015 Meeting Papers 1494, Society for Economic Dynamics.
  19. KiHoon Hong, 0. "Bitcoin as an alternative investment vehicle," Information Technology and Management, Springer, vol. 0, pages 1-11.
  20. Zaremba, Adam & Karathanasopoulos, Andreas & Maydybura, Alina & Czapkiewicz, Anna & Bagheri, Noushin, 2020. "Dissecting anomalies in Islamic stocks: Integrated or segmented pricing?," Pacific-Basin Finance Journal, Elsevier, vol. 62(C).
  21. Gao, Ya & Han, Xing & Li, Youwei & Xiong, Xiong, 2019. "Overnight momentum, informational shocks, and late informed trading in China," International Review of Financial Analysis, Elsevier, vol. 66(C).
  22. Grobys, Klaus & Heinonen, Jari-Pekka & Kolari, James, 2018. "Return dispersion risk in FX and global equity markets: Does it explain currency momentum?," International Review of Financial Analysis, Elsevier, vol. 56(C), pages 264-280.
  23. Hong-Yi Chen & Sheng-Syan Chen & Chin-Wen Hsin & Cheng Few Lee, 2020. "Does Revenue Momentum Drive or Ride Earnings or Price Momentum?," World Scientific Book Chapters, in: Cheng Few Lee & John C Lee (ed.), HANDBOOK OF FINANCIAL ECONOMETRICS, MATHEMATICS, STATISTICS, AND MACHINE LEARNING, chapter 94, pages 3263-3318, World Scientific Publishing Co. Pte. Ltd..
  24. Lin, Chaonan & Xia, Chuanxin & Yang, Nien-Tzu & Yang, Sheng-Yung, 2020. "Enhancing momentum profits in the Taiwan Stock Market: The role of extreme absolute strength," Pacific-Basin Finance Journal, Elsevier, vol. 59(C).
  25. Coy, Jeffrey M. & Garcia-Feijoo, Luis, 2022. "Growth options, risk dynamics, and cost of capital: Evidence from U.S. corporate control transactions," The Quarterly Review of Economics and Finance, Elsevier, vol. 84(C), pages 562-576.
  26. Moskowitz, Tobias J. & Ooi, Yao Hua & Pedersen, Lasse Heje, 2012. "Time series momentum," Journal of Financial Economics, Elsevier, vol. 104(2), pages 228-250.
  27. Wahal, Sunil & Yavuz, M. Deniz, 2013. "Style investing, comovement and return predictability," Journal of Financial Economics, Elsevier, vol. 107(1), pages 136-154.
  28. Subrahmanyam, Avanidhar, 2018. "Equity market momentum: A synthesis of the literature and suggestions for future work," Pacific-Basin Finance Journal, Elsevier, vol. 51(C), pages 291-296.
  29. Mehmet Caner & Thomas Grennes, 2010. "Sovereign Wealth Funds: The Norwegian Experience," The World Economy, Wiley Blackwell, vol. 33(4), pages 597-614, April.
  30. He, Xue-Zhong & Li, Kai, 2015. "Profitability of time series momentum," Journal of Banking & Finance, Elsevier, vol. 53(C), pages 140-157.
  31. Haga, Jesper, 2015. "Intermediate-term momentum and credit rating," Finance Research Letters, Elsevier, vol. 15(C), pages 59-67.
  32. Chen, Zhanhui & Yang, Bowen, 2019. "In search of preference shock risks: Evidence from longevity risks and momentum profits," Journal of Financial Economics, Elsevier, vol. 133(1), pages 225-249.
  33. Andy C W Chui & Avanidhar Subrahmanyam & Sheridan Titman, 2022. "Momentum, Reversals, and Investor Clientele [Illiquidity and stock returns: Cross-section and time-series effects]," Review of Finance, European Finance Association, vol. 26(2), pages 217-255.
  34. Sharifkhani, Ali & Simutin, Mikhail, 2021. "Feedback loops in industry trade networks and the term structure of momentum profits," Journal of Financial Economics, Elsevier, vol. 141(3), pages 1171-1187.
  35. Ashour, Samar & Hao, Grace Qing & Harper, Adam, 2023. "Investor sentiment, style investing, and momentum," Journal of Financial Markets, Elsevier, vol. 62(C).
  36. Lin, Chaonan & Ko, Kuan-Cheng & Feng, Zhi-Xiang & Yang, Nien-Tzu, 2016. "Market dynamics and momentum in the Taiwan stock market," Pacific-Basin Finance Journal, Elsevier, vol. 38(C), pages 59-75.
  37. Galil, Koresh & Shapir, Offer Moshe & Amiram, Dan & Ben-Zion, Uri, 2014. "The determinants of CDS spreads," Journal of Banking & Finance, Elsevier, vol. 41(C), pages 271-282.
  38. Kim, Dongcheol & Roh, Tai-Yong & Min, Byoung-Kyu & Byun, Suk-Joon, 2014. "Time-varying expected momentum profits," Journal of Banking & Finance, Elsevier, vol. 49(C), pages 191-215.
  39. Yao, Yaqiong, 2012. "Momentum, contrarian, and the January seasonality," Journal of Banking & Finance, Elsevier, vol. 36(10), pages 2757-2769.
  40. Kai Li, 2014. "Asset Price Dynamics with Heterogeneous Beliefs and Time Delays," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 13, July-Dece.
  41. Mustafa Tevfik KARTAL, 2022. "The Role of Macroeconomic and Market Indicators in Explaining Sovereign Credit Default Swaps (CDS) Spread Changes: Evidence from Türkiye," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(2), pages 145-164, April.
  42. Johnson, Timothy C., 2016. "Rethinking reversals," Journal of Financial Economics, Elsevier, vol. 120(2), pages 211-228.
  43. Alhenawi, Yasser, 2015. "On the interaction between momentum effect and size effect," Review of Financial Economics, Elsevier, vol. 26(C), pages 36-46.
  44. Hung, Chi-Hsiou D. & Banerjee, Anurag N., 2014. "How do momentum strategies ‘score’ against individual investors in Taiwan, Hong Kong and Korea?," Emerging Markets Review, Elsevier, vol. 21(C), pages 67-81.
  45. Asem, Ebenezer, 2009. "Dividends and price momentum," Journal of Banking & Finance, Elsevier, vol. 33(3), pages 486-494, March.
  46. Bhamra, Harjoat S. & Shim, Kyung Hwan, 2017. "Stochastic idiosyncratic cash flow risk and real options: Implications for stock returns," Journal of Economic Theory, Elsevier, vol. 168(C), pages 400-431.
  47. Benjamin Chabot & Eric Ghysels & Ravi Jagannathan, 2014. "Momentum Trading, Return Chasing, and Predictable Crashes," NBER Working Papers 20660, National Bureau of Economic Research, Inc.
  48. Kai Li, 2014. "Asset Price Dynamics with Heterogeneous Beliefs and Time Delays," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1-2014, January-A.
  49. Enoch Cheng & Clemens C. Struck, 2019. "Time-Series Momentum: A Monte-Carlo Approach," Working Papers 201906, School of Economics, University College Dublin.
  50. Mehdi Zolfaghari & Bahram Sahabi, 2021. "The impact of oil price and exchange rate on momentum strategy profits in stock market: evidence from oil-rich developing countries," Review of Managerial Science, Springer, vol. 15(7), pages 1981-2023, October.
  51. Lu Zhang, 2019. "Q-factors and Investment CAPM," NBER Working Papers 26538, National Bureau of Economic Research, Inc.
  52. Min, Byoung-Kyu & Kim, Tong Suk, 2016. "Momentum and downside risk," Journal of Banking & Finance, Elsevier, vol. 72(S), pages 104-118.
  53. Goetzmann, William N. & Huang, Simon, 2018. "Momentum in Imperial Russia," Journal of Financial Economics, Elsevier, vol. 130(3), pages 579-591.
  54. Yuming Fu & Wenlan Qian, 2014. "Speculators and Price Overreaction in the Housing Market," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 42(4), pages 977-1007, December.
  55. Boguth, Oliver & Carlson, Murray & Fisher, Adlai & Simutin, Mikhail, 2011. "Conditional risk and performance evaluation: Volatility timing, overconditioning, and new estimates of momentum alphas," Journal of Financial Economics, Elsevier, vol. 102(2), pages 363-389.
  56. Hu, Wei & Zheng, Zhenlong, 2020. "Expectile CAPM," Economic Modelling, Elsevier, vol. 88(C), pages 386-397.
  57. Qiang Gong & Ming Liu & Qianqiu Liu, 2011. "Is Momentum Really Momentum? International Evidence," Working Papers EMS_2011_22, Research Institute, International University of Japan.
  58. Joseph Engelberg & Linh Thompson & Jared Williams, 2020. "Stock market anomalies and baseball cards," The Financial Review, Eastern Finance Association, vol. 55(3), pages 461-479, August.
  59. Syed Riaz Mahmood Ali, 2022. "Do momentum and reversal matter in the Singapore stock market?," Asia-Pacific Journal of Accounting & Economics, Taylor & Francis Journals, vol. 29(6), pages 1692-1708, November.
  60. Zhu, Zhaobo & Duan, Xinrui & Sun, Licheng & Tu, Jun, 2019. "Momentum and reversal: The role of short selling," Journal of Economic Dynamics and Control, Elsevier, vol. 104(C), pages 95-110.
  61. Chen, Zhuo & Lu, Andrea, 2017. "Slow diffusion of information and price momentum in stocks: Evidence from options markets," Journal of Banking & Finance, Elsevier, vol. 75(C), pages 98-108.
  62. Mostafa Saidur Rahim Khan & Naheed Rabbani, 2017. "Momentum in stock returns: evidence from an emerging stock market," Macroeconomics and Finance in Emerging Market Economies, Taylor & Francis Journals, vol. 10(2), pages 191-204, May.
  63. Narayan, Paresh Kumar & Phan, Dinh Hoang Bach, 2017. "Momentum strategies for Islamic stocks," Pacific-Basin Finance Journal, Elsevier, vol. 42(C), pages 96-112.
  64. Chris Stivers & Licheng Sun, 2013. "Market Cycles and the Performance of Relative Strength Strategies," Financial Management, Financial Management Association International, vol. 42(2), pages 263-290, June.
  65. Yang, Yunlin & Gebka, Bartosz & Hudson, Robert, 2019. "Momentum effects in China: A review of the literature and an empirical explanation of prevailing controversies," Research in International Business and Finance, Elsevier, vol. 47(C), pages 78-101.
  66. Geoffrey Booth, G. & Fung, Hung-Gay & Leung, Wai Kin, 2016. "A risk-return explanation of the momentum-reversal “anomaly”," Journal of Empirical Finance, Elsevier, vol. 35(C), pages 68-77.
  67. Hung-Wen Lin & Kun-Ben Lin & Jing-Bo Huang & Shu-Heng Chen, 2021. "Timely Loss Recognition Helps Nothing," Sustainability, MDPI, vol. 13(14), pages 1-24, July.
  68. Lorenzo Garlappi & Zhongzhi Song, 2017. "Can Investment Shocks Explain the Cross Section of Equity Returns?," Management Science, INFORMS, vol. 63(11), pages 3829-3848, November.
  69. KiHoon Hong, 2017. "Bitcoin as an alternative investment vehicle," Information Technology and Management, Springer, vol. 18(4), pages 265-275, December.
  70. Clare, Andrew & Seaton, James & Smith, Peter N. & Thomas, Stephen, 2014. "Trend following, risk parity and momentum in commodity futures," International Review of Financial Analysis, Elsevier, vol. 31(C), pages 1-12.
  71. Anwer S. Ahmed & Irfan Safdar, 2018. "Dissecting stock price momentum using financial statement analysis," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 58(S1), pages 3-43, November.
  72. Yin, Libo & Wei, Ya, 2020. "Aggregate profit instability and time variations in momentum returns: Evidence from China," Pacific-Basin Finance Journal, Elsevier, vol. 60(C).
  73. K. J. Hong & S. Satchell, 2013. "Time Series Momentum Trading Strategy and Autocorrelation Amplification," Cambridge Working Papers in Economics 1322, Faculty of Economics, University of Cambridge.
  74. Wang, Kevin Q. & Xu, Jianguo, 2015. "Market volatility and momentum," Journal of Empirical Finance, Elsevier, vol. 30(C), pages 79-91.
  75. Celiker, Umut & Kayacetin, Nuri Volkan & Kumar, Raman & Sonaer, Gokhan, 2016. "Cash flow news, discount rate news, and momentum," Journal of Banking & Finance, Elsevier, vol. 72(C), pages 240-254.
  76. Pavel Bandarchuk & Jens Hilscher, 2013. "Sources of Momentum Profits: Evidence on the Irrelevance of Characteristics," Review of Finance, European Finance Association, vol. 17(2), pages 809-845.
  77. Liao, Li-Chuan & Chou, Ray Yeutien & Chiu, Banghan, 2013. "Anchoring effect on foreign institutional investors’ momentum trading behavior: Evidence from the Taiwan stock market," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 72-91.
  78. Abul Shamsuddin & Jae H. Kim, 2010. "Short‐Horizon Return Predictability in International Equity Markets," The Financial Review, Eastern Finance Association, vol. 45(2), pages 469-484, May.
  79. Fernando F. Ferreira & A. Christian Silva & Ju-Yi Yen, 2014. "Information ratio analysis of momentum strategies," Papers 1402.3030, arXiv.org, revised Jul 2014.
  80. Ma, Yao & Yang, Baochen & Su, Yunpeng, 2021. "Stock return predictability: Evidence from moving averages of trading volume," Pacific-Basin Finance Journal, Elsevier, vol. 65(C).
  81. George, Thomas J. & Hwang, Chuan-Yang & Li, Yuan, 2018. "The 52-week high, q-theory, and the cross section of stock returns," Journal of Financial Economics, Elsevier, vol. 128(1), pages 148-163.
  82. Yang, Jinyu & Xia, Guoen & Dong, Dayong, 2024. "Placebo in the random walk of stock price: Momentum effect of corporate site visits," Research in International Business and Finance, Elsevier, vol. 70(PB).
  83. Xue-Zhong He & Kai Li, 2014. "Time Series Momentum and Market Stability," Research Paper Series 341, Quantitative Finance Research Centre, University of Technology, Sydney.
  84. Mostafa Saidur Rahim Khan, 2017. "Market States and Momentum: Evidence from the Dhaka Stock Exchange," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 20(02), pages 1-19, June.
  85. Jegadeesh, Narasimhan & Titman, Sheridan, 2023. "Momentum: Evidence and insights 30 years later," Pacific-Basin Finance Journal, Elsevier, vol. 82(C).
  86. Gao, Ya & Han, Xing & Li, Youwei & Xiong, Xiong, 2021. "Investor heterogeneity and momentum-based trading strategies in China," International Review of Financial Analysis, Elsevier, vol. 74(C).
  87. Shah Saeed Hassan Chowdhury & Rashida Sharmin & M Arifur Rahman, 2019. "Presence and Sources of Contrarian Profits in the Bangladesh Stock Market," Global Business Review, International Management Institute, vol. 20(1), pages 84-104, February.
  88. Xiong, Tao & Wang, Peng, 2023. "Institutional ownership and momentum in the Chinese A-share market," Pacific-Basin Finance Journal, Elsevier, vol. 79(C).
  89. Winter, Christoph, 2018. "The Impact of Heterogeneous Signals on Stock Price Predictability in a Rational Expectations Model," Working papers 2018/21, Faculty of Business and Economics - University of Basel.
  90. Bianchi, Robert J. & Drew, Michael E. & Fan, John Hua, 2015. "Combining momentum with reversal in commodity futures," Journal of Banking & Finance, Elsevier, vol. 59(C), pages 423-444.
  91. Demirer, Riza & Polat, Onur & Sokhanvar, Amin, 2025. "Do oil price shocks drive systematic risk premia in stock markets? A novel investment application," Research in International Business and Finance, Elsevier, vol. 73(PA).
  92. Hong-Yi Chen & Cheng Few Lee & Wei-Kang Shih, 2020. "Technical, Fundamental, and Combined Information for Separating Winners from Losers," World Scientific Book Chapters, in: Cheng Few Lee & John C Lee (ed.), HANDBOOK OF FINANCIAL ECONOMETRICS, MATHEMATICS, STATISTICS, AND MACHINE LEARNING, chapter 95, pages 3319-3365, World Scientific Publishing Co. Pte. Ltd..
  93. Sheridan Titman & Matthias Hanauer, 2014. "Is Japan Different? Evidence on Momentum and Market Dynamics," International Review of Finance, International Review of Finance Ltd., vol. 14(1), pages 141-160, March.
  94. Jiaqi Guo & Peng Li & Youwei Li, 2022. "What Can Explain Momentum? Evidence from Decomposition," Management Science, INFORMS, vol. 68(8), pages 6184-6218, August.
  95. Sarkar, Sudipto, 2018. "Optimal DOL (degree of operating leverage) with investment and production flexibility," International Journal of Production Economics, Elsevier, vol. 202(C), pages 172-181.
  96. Qingyuan Han, 2025. "Understanding price momentum, market fluctuations, and crashes: insights from the extended Samuelson model," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 11(1), pages 1-37, December.
  97. Gil Aharoni & Tuan Q. Ho & Qi Zeng, 2012. "Testing the growth option theory: the profitability of enhanced momentum strategies in Australia," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 52(2), pages 267-290, June.
  98. Sandrine Jacob Leal, 2015. "Fundamentalists, chartists and asset pricing anomalies," Quantitative Finance, Taylor & Francis Journals, vol. 15(11), pages 1837-1850, November.
  99. Blitz, David & Hanauer, Matthias X. & Vidojevic, Milan, 2020. "The idiosyncratic momentum anomaly," International Review of Economics & Finance, Elsevier, vol. 69(C), pages 932-957.
  100. Bank, Matthias & Insam, Franz, 2021. "Corporate aging and changes in the pricing of stock characteristics," Finance Research Letters, Elsevier, vol. 42(C).
  101. Sandrine Jacob Leal, 2015. "Fundamentalists, Chartists and Asset pricing anomalies," Post-Print hal-01508002, HAL.
  102. Chen, Honghui & Singal, Vijay & Whitelaw, Robert F., 2016. "Comovement revisited," Journal of Financial Economics, Elsevier, vol. 121(3), pages 624-644.
  103. French, Declan & Wu, Yuliang & Li, Youwei, 2016. "Identifying the relative importance of stock characteristics," Journal of Multinational Financial Management, Elsevier, vol. 34(C), pages 80-91.
  104. Greg Filbeck & Xin Zhao & Ryan Knoll, 2017. "An analysis of working capital efficiency and shareholder return," Review of Quantitative Finance and Accounting, Springer, vol. 48(1), pages 265-288, January.
  105. Docherty, Paul & Hurst, Gareth, 2018. "Return dispersion and conditional momentum returns: International evidence," Pacific-Basin Finance Journal, Elsevier, vol. 50(C), pages 263-278.
  106. Kelly, Bryan T. & Moskowitz, Tobias J. & Pruitt, Seth, 2021. "Understanding momentum and reversal," Journal of Financial Economics, Elsevier, vol. 140(3), pages 726-743.
  107. Wang, Jun & Wu, Yangru, 2011. "Risk adjustment and momentum sources," Journal of Banking & Finance, Elsevier, vol. 35(6), pages 1427-1435, June.
  108. A. Balakrishnan & Nirakar Barik, 2021. "Do select macroeconomic factors drive momentum returns?," Future Business Journal, Springer, vol. 7(1), pages 1-12, December.
  109. Andrei, Daniel & Cujean, Julien, 2017. "Information percolation, momentum and reversal," Journal of Financial Economics, Elsevier, vol. 123(3), pages 617-645.
  110. Butt, Hilal Anwar & Kolari, James W. & Sadaqat, Mohsin, 2021. "Revisiting momentum profits in emerging markets," Pacific-Basin Finance Journal, Elsevier, vol. 65(C).
  111. Ma, Yao & Yang, Baochen & Su, Yunpeng, 2020. "Technical trading index, return predictability and idiosyncratic volatility," International Review of Economics & Finance, Elsevier, vol. 69(C), pages 879-900.
  112. Liu, Laura Xiaolei & Zhang, Lu, 2014. "A neoclassical interpretation of momentum," Journal of Monetary Economics, Elsevier, vol. 67(C), pages 109-128.
  113. Peter Nyberg & Salla Pöyry, 2014. "Firm Expansion and Stock Price Momentum," Review of Finance, European Finance Association, vol. 18(4), pages 1465-1505.
  114. Chong, Terence Tai Leung & He, Qing & Ip, Hugo Tak Sang & Siu, Jonathan T., 2017. "Profitability of CAPM Momentum Strategies in the US Stock Market," MPRA Paper 80563, University Library of Munich, Germany.
  115. Gong, Qiang & Liu, Ming & Liu, Qianqiu, 2015. "Momentum is really short-term momentum," Journal of Banking & Finance, Elsevier, vol. 50(C), pages 169-182.
  116. Hanauer, Matthias X. & Windmüller, Steffen, 2023. "Enhanced momentum strategies," Journal of Banking & Finance, Elsevier, vol. 148(C).
  117. Simarjeet Singh & Nidhi Walia, 2022. "Momentum investing: a systematic literature review and bibliometric analysis," Management Review Quarterly, Springer, vol. 72(1), pages 87-113, February.
  118. Novy-Marx, Robert, 2012. "Is momentum really momentum?," Journal of Financial Economics, Elsevier, vol. 103(3), pages 429-453.
  119. Dirk Hackbarth & Timothy Johnson, 2015. "Real Options and Risk Dynamics," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 82(4), pages 1449-1482.
  120. Maio, Paulo & Philip, Dennis, 2018. "Economic activity and momentum profits: Further evidence," Journal of Banking & Finance, Elsevier, vol. 88(C), pages 466-482.
  121. Guohua Jiang & Donglin Li & Gang Li, 2012. "Capital investment and momentum strategies," Review of Quantitative Finance and Accounting, Springer, vol. 39(2), pages 165-188, August.
  122. Makarov, Igor & Rytchkov, Oleg, 2012. "Forecasting the forecasts of others: Implications for asset pricing," Journal of Economic Theory, Elsevier, vol. 147(3), pages 941-966.
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