Style rotation on the JSE-Reference-Cited by-同舟云学术

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Style rotation on the JSE

Published:2021-10 Issue: Volume: Page:102504
ISSN:1544-6123
Container-title:Finance Research Letters
language:en
Short-container-title:Finance Research Letters

Author:

Page Daniel,McClelland David,Auret Christo

Publisher

Elsevier BV

Subject

Finance

Reference19 articles.

1. Factor Momentum;Arnott,2019

2. Quality minus junk;Asness;Rev. Account. Studies,2019

3. On persistence in mutual fund performance;Carhart;The Journal of finance,1997

4. Style momentum within the S&P-500 index;Chen;J. Empirical Finance,2004

5. Quantitative or momentum-based multi-style rotation? UK experience;Clare;J. Asset Manage.,2010

Cited by 5 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. Machine learning style rotation – evidence from the Johannesburg Stock Exchange;Cogent Economics & Finance;2024-09-13

2. Machine learning and manager selection: evidence from South Africa;International Journal of Emerging Markets;2023-07-28

3. Pure quantile portfolios on the Johannesburg stock exchange;Cogent Economics & Finance;2023-07-03

4. Factor Momentum Versus Stock Price Momentum: A Revisit;SSRN Electronic Journal;2023

5. Market operating leverage and expected stock returns;Journal of Corporate Accounting & Finance;2022-06-02

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