Short-term reversals, short-term momentum, and news-driven trading activity

Author:

Chiang I-Hsuan Ethan,Kirby Chris,Nie Ziye Zoe

Funder

Tulane University

University of North Carolina at Charlotte

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference39 articles.

1. Illiquidity and stock returns: cross-section and time-series effects;Amihud;Journal of Financial Markets,2002

2. Return volatility and trading volume: an information flow interpretation of stochastic volatility;Andersen;Journal of Finance,1996

3. Time-varying liquidity and momentum profits;Avramov;Journal of Financial and Quantitative Analysis,2016

4. Liquidity and autocorrelations in individual stock returns;Avramov;Journal of Finance,2006

5. Back, K., Kapadia, N., Ostdiek, B., 2015. Testing factor models on characteristic and covariance pure plays. Working paper, Rice University.

Cited by 3 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. Recency bias and the cross-section of international stock returns;Journal of International Financial Markets, Institutions and Money;2023-04

2. Does short-term momentum exist in China?;Pacific-Basin Finance Journal;2023-02

3. Identifying inconsistency in short-term reversal: evidence from the Chinese stock market;Applied Economics Letters;2022-09-02

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