Less pain, more gain: Volatility-adjusted residual momentum in international equity markets-Reference-Cited by-同舟云学术

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Less pain, more gain: Volatility-adjusted residual momentum in international equity markets

Published:2018-04-03 Issue:2 Volume:47 Page:165-191
ISSN:1029-3523
Container-title:Investment Analysts Journal
language:en
Short-container-title:Investment Analysts Journal

Author:

Zaremba Adam¹²^ORCID,Umutlu Mehmet³^ORCID,Maydybura Alina²

Affiliation:

1. Department of Investment and Capital Markets, Poznan University of Economics and Business, Poznan, Poland

2. Dubai Business School, University of Dubai, Dubai, United Arab Emirates

3. Department of International Trade and Finance, Yasar University, Izmir, Turkey

Funder

Narodowe Centrum Nauki

Publisher

Informa UK Limited

Subject

Economics and Econometrics,Finance,Accounting

Link

https://www.tandfonline.com/doi/pdf/10.1080/10293523.2018.1469290

Reference60 articles.

1. The Cross-Section of Volatility and Expected Returns

2. The Interaction of Value and Momentum Strategies

3. Value and Momentum Everywhere

4. Time-Varying Liquidity and Momentum Profits

5. Investor Sentiment and the Cross-Section of Stock Returns

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1. Mapping the scientific research on alternative momentum investing: a bibliometric analysis;Journal of Economic and Administrative Sciences;2021-04-29

2. Herding for profits: Market breadth and the cross-section of global equity returns;Economic Modelling;2021-04

3. The alpha momentum effect in commodity markets;Energy Economics;2021-01

4. Idiosyncratic momentum on the JSE;Investment Analysts Journal;2020-07-02

5. The momentum effect in the Tunisian stock market: Risk hypothesis vs. underreaction hypothesis;Borsa Istanbul Review;2020-06

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