Time-series momentum in nearly 100 years of stock returns-Reference-Cited by-同舟云学术

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Time-series momentum in nearly 100 years of stock returns

Published:2018-12 Issue: Volume:97 Page:283-296
ISSN:0378-4266
Container-title:Journal of Banking & Finance
language:en
Short-container-title:Journal of Banking & Finance

Author:

Lim Bryan Y.,Wang Jiaguo (George),Yao Yaqiong

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference43 articles.

1. Cognitive dissonance, sentiment, and momentum;Antoniou;J. Financ. Quant. Anal.,2013

2. Parallels between the cross-sectional predictability of stock and country returns;Asness;J. Portfol. Manag.,1997

3. Value and momentum everywhere;Asness;J. Finance,2013

4. Momentum Strategies in Futures Markets and Trend following Funds;Baltas,2013

5. Baltas, A.N. and Kosowski, R., 2015. Demystifying time-series momentum strategies: volatility estimators, trading rules and pairwise correlations. Working Paper.

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