Macroeconomic momentum and cross-sectional equity market indices-Reference-Cited by-同舟云学术

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Macroeconomic momentum and cross-sectional equity market indices

Published:2024-04 Issue: Volume:92 Page:101974
ISSN:1042-4431
Container-title:Journal of International Financial Markets, Institutions and Money
language:en
Short-container-title:Journal of International Financial Markets, Institutions and Money

Author:

Zhang Yu^ORCID,Kappou Konstantina,Urquhart Andrew^ORCID

Publisher

Elsevier BV

Reference35 articles.

1. Factor momentum;Arnott;Rev. Financ. Stud.,2023

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

3. Systematic risk, hedging pressure, and risk premiums in futures markets;Bessembinder;Rev. Financ. Stud.,1992

4. Economic forces and the stock market;Chen;J. Bus.,1986

5. An intertemporal general equilibrium model of asset prices;Cox;Econometrica: J. Econom. Soc.,1985

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