Non-parametric momentum based on ranks and signs-Reference-Cited by-同舟云学术

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Non-parametric momentum based on ranks and signs

Published:2021-01 Issue: Volume:60 Page:94-109
ISSN:0927-5398
Container-title:Journal of Empirical Finance
language:en
Short-container-title:Journal of Empirical Finance

Author:

Chen Tsung-Yu,Chou Pin-Huang,Ko Kuan-Cheng,Rhee S. Ghon

Funder

Ministry of Science and Technology, Taiwan

2017 Shidler summer research grant

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference44 articles.

1. Skewness in stock returns: Reconciling the evidence on firm versus aggregate returns;Albuquerque;Rev. Financ. Stud.,2012

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

3. Thirty years of prospect theory in economics: A review and assessment;Barberis;J. Econ. Perspect.,2013

4. Momentum has its moments;Barroso;J. Financ. Econ.,2015

5. Residual momentum;Blitz;J. Empir. Finance,2011

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1. An extension analysis of Amihud's illiquidity premium: Evidence from the Taiwan stock market;Pacific-Basin Finance Journal;2024-10

2. Momentum investing and a tale of intraday and overnight returns: Evidence from Taiwan;Pacific-Basin Finance Journal;2023-12

3. Combining low-volatility and mean-reversion anomalies: Better together?;Algorithmic Finance;2023-11-27

4. Stop-loss rules and momentum payoffs in cryptocurrencies;Journal of Behavioral and Experimental Finance;2023-09

5. Memory-enhanced momentum in commodity futures markets;The European Journal of Finance;2023-06-06

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