The Enduring Effect of Time-Series Momentum on Stock Returns Over Nearly 100-Years-Reference-Cited by-同舟云学术

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The Enduring Effect of Time-Series Momentum on Stock Returns Over Nearly 100-Years

Published:2016 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

Author:

DDSouza Ian,Srichanachaichok Voraphat,Wang George Jiaguo,Yao Yaqiong (Chelsea)

Publisher

Elsevier BV

Reference41 articles.

1. Parallels between the Cross-Sectional Predictability of Stock and Country Returns;C S Asness;Journal of Portfolio Management,1997

2. Value and Momentum everywhere;C S Asness;The Journal of Finance,2013

3. Momentum Strategies in Futures Markets and Trend following Funds;A N Baltas;Imperial College Working Paper,2013

4. Demystifying Time-Series Momentum Strategies: Volatility Estimators, Trading Rules and Pairwise Correlations;A N Baltas;Working Paper,2015

5. A model of investor sentiment;N Barberis;Journal of Financial Economics,1998

Cited by 4 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Time-Series Momentum in a Small European Stock Market: Evidence from a New Historical Financial Dataset;Scientific Annals of Economics and Business;2023-09-20

2. Time series momentum: Evidence from the European equity market;Heliyon;2023-01

3. Taming momentum crashes through triple momentum investing;Journal of Public Affairs;2020-10-13

4. Re-examining differences between momentum and time series momentum among individual stocks;Applied Economics Letters;2019-02-27

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