Nominal price illusion, return skewness, and momentum-Reference-Cited by-同舟云学术

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Nominal price illusion, return skewness, and momentum

Published:2024-09 Issue: Volume:67 Page:105899
ISSN:1544-6123
Container-title:Finance Research Letters
language:en
Short-container-title:Finance Research Letters

Author:

Jia Yuecheng,Xu Zheng^ORCID,Yan Shu,Zhang Runyu

Publisher

Elsevier BV

Reference20 articles.

1. The cross-section of volatility and expected returns;Ang;J. Finance,2006

2. Maxing out: Stocks as lotteries and the cross-section of expected returns;Bali;J. Financ. Econ.,2011

3. Birru, Justin, Wang, Baolian, 2015. The Nominal Price Premium. Fisher College of Business Working Paper No. 2015-03-15.

4. Nominal price illusion;Birru;J. Financ. Econ.,2016

5. Risk neutral skewness predicts price rebounds and so can improve momentum performance;Borochin;Crit. Financ. Rev.,2022

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