Decomposing the Momentum in the Japanese Stock Market
Author:
Funder
Japan Society for the Promotion of Science
Publisher
Springer Science and Business Media LLC
Subject
Finance
Link
https://link.springer.com/content/pdf/10.1007/s10690-023-09413-y.pdf
Reference27 articles.
1. Amihud, Y. (2002). Illiquidity and stock returns: Crosssection and time-series effects. Jornal of Financial Markets, 5, 31–56.
2. Ang, A., Hodrick, R. J., Xing, Y., & Zhang, X. (2006). The cross-section of volatility and expected returns. The Journal of Finance, 61, 259–299.
3. Asem, E., & Tian, G. Y. (2010). Market dynamics and momentum profits. Journal of Financial Quantitative Analysis, 45(6), 1549–1562.
4. Asness, C. (2011). Momentum in Japan: The exception that proves the rule. Journal of Portfolio Management, 37(4), 67–75.
5. Asness, C. S., Moskowitz, T. J., & Pedersen, L. H. (2013). Value and momentum everywhere. The Journal of Finance, 68, 929–985.
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