Explaining momentum profits with an epidemic diffusion model
Author:
Publisher
Springer Science and Business Media LLC
Subject
Economics and Econometrics,Finance
Link
http://link.springer.com/content/pdf/10.1007/BF02752744.pdf
Reference20 articles.
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3. Bernard, V., and J. Thomas. 1989. “Post-earnings Announcement Drift: Delayed Price Response or Risk Premium?”Journal of Accounting Research 27: 1–48.
4. Chan, L., N. Jegadeesh, and J. Lakonishok. 1996. “Momentum Strategies.”Journal of Finance 51: 1681–1713.
5. Conrad, J. S., and G. Kaul. 1998. “An Anatomy of Trading Strategies.”Review of Financial Studies 11: 489–519
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