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A Closer Look at the Short-Term Return Reversal
Citations
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Cited by:
- Goh, Jihoon & Jeong, Giho & Kang, Jangkoo, 2022. "The reference dependency of short-term reversal," International Review of Economics & Finance, Elsevier, vol. 78(C), pages 195-211.
- Schlag, Christian & Zeng, Kailin, 2019. "Horizontal industry relationships and return predictability," SAFE Working Paper Series 256, Leibniz Institute for Financial Research SAFE.
- Breitmayer, Bastian & Massari, Filippo & Pelster, Matthias, 2019. "Swarm intelligence? Stock opinions of the crowd and stock returns," International Review of Economics & Finance, Elsevier, vol. 64(C), pages 443-464.
- Cakici, Nusret & Zaremba, Adam, 2022. "Salience theory and the cross-section of stock returns: International and further evidence," Journal of Financial Economics, Elsevier, vol. 146(2), pages 689-725.
- Zhu, Zhaobo & Ding, Wenjie & Jin, Yi & Shen, Dehua, 2023.
"Dissecting the idiosyncratic volatility puzzle: A fundamental analysis approach,"
Research in International Business and Finance, Elsevier, vol. 66(C).
- Zhaobo Zhu & Wenjie Ding & Yi Jin & Dehua Shen, 2023. "Dissecting the Idiosyncratic Volatility Puzzle: A Fundamental Analysis Approach," Post-Print hal-04194180, HAL.
- Neszveda, Gábor & Till, Gábor & Timár, Barnabás & Varga, Marcell, 2022. "Is short-term reversal driven by liquidity provision in emerging markets? Evidence from China," Finance Research Letters, Elsevier, vol. 50(C).
- Zheng, Yan & Yin, Hua & Zhou, Min & Liu, Wenhua & Wen, Fenghua, 2021. "Impacts of oil shocks on the EU carbon emissions allowances under different market conditions," Energy Economics, Elsevier, vol. 104(C).
- Chen, Jiun-Lin & Glabadanidis, Paskalis & Sun, Mingwei, 2022. "The five-factor asset pricing model, short-term reversal, and ownership structure – the case of China," International Review of Financial Analysis, Elsevier, vol. 82(C).
- Xingyue Pu & Stephen Roberts & Xiaowen Dong & Stefan Zohren, 2023. "Network Momentum across Asset Classes," Papers 2308.11294, arXiv.org.
- Nguyen, Anh Duy, 2020. "Alternative reversal variable," Finance Research Letters, Elsevier, vol. 33(C).
- Maio, Paulo & Philip, Dennis, 2015. "Macro variables and the components of stock returns," Journal of Empirical Finance, Elsevier, vol. 33(C), pages 287-308.
- Kotaro Miwa, 2019. "Short-Term Return Reversals and Intraday Transactions," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 9(01), pages 1-25, March.
- Chen, Xi & Shangguan, Wuyue & Liu, Yanchu & Wang, Shichao, 2021. "Can network structure predict cross-sectional stock returns? Evidence from co-attention networks in China," Finance Research Letters, Elsevier, vol. 38(C).
- Gutierrez, Jose, 2016. "Reversal of 3-day losers and continuation of 3-day winners on the NASDAQ," Review of Financial Economics, Elsevier, vol. 30(C), pages 68-73.
- Li, Yan & Liang, Chao & Huynh, Toan L.D. & He, Qiubei, 2022. "Price reversal and heterogeneous belief," International Review of Economics & Finance, Elsevier, vol. 82(C), pages 104-119.
- Bianchi, Daniele & Babiak, Mykola & Dickerson, Alexander, 2022.
"Trading volume and liquidity provision in cryptocurrency markets,"
Journal of Banking & Finance, Elsevier, vol. 142(C).
- Daniele Bianchi & Mykola Babiak & Alexander Dickerson, 2022. "Trading Volume and Liquidity Provision in Cryptocurrency Markets," CERGE-EI Working Papers wp730, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
- Bianchi, Daniele & Babiak, Mykola & Dickerson, Alexander, 2022. "Trading volume and liquidity provision in cryptocurrency markets," Working Paper Series 413, Sveriges Riksbank (Central Bank of Sweden).
- So, Eric C. & Wang, Sean, 2014. "News-driven return reversals: Liquidity provision ahead of earnings announcements," Journal of Financial Economics, Elsevier, vol. 114(1), pages 20-35.
- Zhaobo Zhu & Licheng Sun, 2024. "Economic policy uncertainty and short-term reversals," Post-Print hal-04691597, HAL.
- Bahloul, Walid & Bouri, Abdelfettah, 2016. "Profitability of return and sentiment-based investment strategies in US futures markets," Research in International Business and Finance, Elsevier, vol. 36(C), pages 254-270.
- Cosemans, Mathijs & Frehen, Rik, 2021. "Salience theory and stock prices: Empirical evidence," Journal of Financial Economics, Elsevier, vol. 140(2), pages 460-483.
- Zaremba, Adam & Long, Huaigang & Karathanasopoulos, Andreas, 2019. "Short-term momentum (almost) everywhere," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 63(C).
- Jacobs, Heiko, 2015. "What explains the dynamics of 100 anomalies?," Journal of Banking & Finance, Elsevier, vol. 57(C), pages 65-85.
- Zhaobo Zhu & Licheng Sun & Min Chen, 2023. "Fundamental strength and the 52-week high anchoring effect," Review of Quantitative Finance and Accounting, Springer, vol. 60(4), pages 1515-1542, May.
- Ham, Hyuna & Ryu, Doojin & Webb, Robert I., 2022. "The effects of overnight events on daytime trading sessions," International Review of Financial Analysis, Elsevier, vol. 83(C).
- Wang, Qingxia & Faff, Robert & Zhu, Min, 2022. "Realized moments and the cross-sectional stock returns around earnings announcements," International Review of Economics & Finance, Elsevier, vol. 79(C), pages 408-427.
- Adam Zaremba & Jacob Koby Shemer, 2018. "Price-Based Investment Strategies," Springer Books, Springer, number 978-3-319-91530-2, March.
- Anh Duy Nguyen, 2020. "Alternative reversal variable," Post-Print hal-02388743, HAL.
- Pawel Maryniak & Rafal Weron, 2017. "Habitat momentum," HSC Research Reports HSC/17/05, Hugo Steinhaus Center, Wroclaw University of Science and Technology.
- Ketterer, Simeon & Dionysiou, Dionysia & Eierle, Brigitte & Tsalavoutas, Ioannis, 2023. "Validating implied cost of capital with realized returns by using alternative measures of cash-flow news," The British Accounting Review, Elsevier, vol. 55(6).
- Hannah Lea Hühn & Hendrik Scholz, 2018. "Alpha Momentum and Price Momentum," IJFS, MDPI, vol. 6(2), pages 1-28, May.
- Kang, Moonsoo & Khaksari, S. & Nam, Kiseok, 2018. "Corporate investment, short-term return reversal, and stock liquidity," Journal of Financial Markets, Elsevier, vol. 39(C), pages 68-83.
- Huafeng (Jason) Chen & Shaojun (Jenny) Chen & Zhuo Chen & Feng Li, 2019. "Empirical Investigation of an Equity Pairs Trading Strategy," Management Science, INFORMS, vol. 65(1), pages 370-389, January.
- Anh Duy Nguyen, 2019. "Alternative reversal variable," Working Papers hal-02388743, HAL.
- Hong, KiHoon & Wu, Eliza, 2016. "The roles of past returns and firm fundamentals in driving US stock price movements," International Review of Financial Analysis, Elsevier, vol. 43(C), pages 62-75.
- Li, Yan & Huo, Jiale & Xu, Yongan & Liang, Chao, 2023. "Belief-based momentum indicator and stock market return predictability," Research in International Business and Finance, Elsevier, vol. 64(C).
- Geertsema, Paul & Lu, Helen, 2020. "The correlation structure of anomaly strategies," Journal of Banking & Finance, Elsevier, vol. 119(C).
- Zeng, Kailin & Tang, Ting & Liu, Fangbiao & Atta Mills, Ebenezer Fiifi Emire, 2022. "Innovation links, information diffusion, and return predictability: Evidence from China," International Review of Financial Analysis, Elsevier, vol. 83(C).
- Heyman, Dries & Lescrauwaet, Michiel & Stieperaere, Hannes, 2019. "Investor attention and short-term return reversals," Finance Research Letters, Elsevier, vol. 29(C), pages 1-6.
- Schlag, Christian & Zeng, Kailin, 2019. "Horizontal industry relationships and return predictability," Journal of Empirical Finance, Elsevier, vol. 53(C), pages 310-330.
- Anh Duc Nguyen, 2020. "Residual return reversals: European evidences," Post-Print hal-02493457, HAL.
- Shuaiyu Chen & T. Clifton Green & Huseyin Gulen & Dexin Zhou, 2024. "What Does ChatGPT Make of Historical Stock Returns? Extrapolation and Miscalibration in LLM Stock Return Forecasts," Papers 2409.11540, arXiv.org.
- Zhu, Zhaobo & Harrison, DavidM. & Seiler, MichaelJ., 2020. "Preference for lottery features in real estate investment trusts," International Review of Economics & Finance, Elsevier, vol. 69(C), pages 599-613.
- Kang, Junqing & Lin, Shen & Xiong, Xiong, 2022. "What drives intraday reversal? illiquidity or liquidity oversupply?," Journal of Economic Dynamics and Control, Elsevier, vol. 136(C).
- Isaenko, Sergey, 2023. "Trading strategies and the frequency of time-series," The Quarterly Review of Economics and Finance, Elsevier, vol. 90(C), pages 267-283.
- Gong, Qiang & Liu, Ming & Liu, Qianqiu, 2015. "Momentum is really short-term momentum," Journal of Banking & Finance, Elsevier, vol. 50(C), pages 169-182.
- Obaid, Khaled & Pukthuanthong, Kuntara, 2022. "A picture is worth a thousand words: Measuring investor sentiment by combining machine learning and photos from news," Journal of Financial Economics, Elsevier, vol. 144(1), pages 273-297.
- Zhaobo Zhu & Licheng Sun, 2024. "When Buffett Meets Bollinger: An Integrated Approach to Fundamental and Technical Analysis," Post-Print hal-04703041, HAL.
- Nguyen, Anh Duy, 2019. "Residual return reversals: European evidence," Research in International Business and Finance, Elsevier, vol. 50(C), pages 392-397.