Factor momentum in the Chinese stock market-Reference-Cited by-同舟云学术

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Factor momentum in the Chinese stock market

Published:2024-01 Issue: Volume:75 Page:101458
ISSN:0927-5398
Container-title:Journal of Empirical Finance
language:en
Short-container-title:Journal of Empirical Finance

Author:

Ma Tian^ORCID,Liao Cunfei,Jiang Fuwei

Funder

Chinese National Funding of Social Sciences

National Natural Science Foundation of China

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference82 articles.

1. Synchronization risk and delayed arbitrage;Abreu;J. Financ. Econ.,2002

2. The development of the Chinese stock market;Allen,2020

3. Illiquidity and stock returns: cross-section and time-series effects;Amihud;J. Financ. Mark.,2002

4. Arnott, R.D., Clements, M., Kalesnik, V., & Linnainmaa, J.T. (2021). Factor momentum. Available at SSRN 3116974.

5. Asness, C.S., Porter, R.B., & Stevens, R.L. (2000). Predicting stock returns using industry-relative firm characteristics. Available at SSRN 213872.

Cited by 2 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. Noisy market, machine learning and fundamental momentum;Pacific-Basin Finance Journal;2024-09

2. Investor clientele and intraday patterns in the cross section of stock returns;Review of Quantitative Finance and Accounting;2024-07-29

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