Alpha momentum and alpha reversal in country and industry equity indexes

Author:

Zaremba Adam,Umutlu Mehmet,Karathanasopoulos Andreas

Funder

National Science Centre of Poland

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference66 articles.

1. Momentum profits and trading costs;Abbes;Econ. Manag.,2008

2. Arbitrage risk and the book-to-market anomaly;Ali;J. Financ. Econ.,2003

3. Can exchange traded funds be used to exploit industry and country momentum?;Andreu;Financial Mark. Portfolio Manag.,2013

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

5. Scaling up market anomalies;Avramov;J. Investing,2017

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1. Interaction effects in the cross-section of country and industry returns;Journal of Banking & Finance;2024-08

2. Zoom in on momentum;International Review of Financial Analysis;2024-07

3. Industry momentum and trading volume: evidence from China;Managerial Finance;2024-01-09

4. ML-Based Interconnected Affecting Factors with Supporting Matrices for Assessment of Risk in Stock Market;Wireless Communications and Mobile Computing;2022-08-09

5. Seasonality and momentum across national equity markets;The North American Journal of Economics and Finance;2022-07

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