Can monthly-return rank order reveal a hidden dimension of momentum? The post-cost evidence from the U.S. stock markets-Reference-Cited by-同舟云学术

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Can monthly-return rank order reveal a hidden dimension of momentum? The post-cost evidence from the U.S. stock markets

Published:2023-03 Issue: Volume:65 Page:101884
ISSN:1062-9408
Container-title:The North American Journal of Economics and Finance
language:en
Short-container-title:The North American Journal of Economics and Finance

Author:

Pätäri Eero^ORCID,Ahmed Sheraz,Luukka Pasi,Yeomans Julian Scott

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference102 articles.

1. A simple estimation of bid-ask spreads from daily close, high, and low prices;Abdi;Review of Financial Studies,2017

2. Fact, fiction, and the size effect;Alquist;Journal of Portfolio Management,2018

3. Alice’s adventures in factorland: Three blunders that plague factor investing;Arnott;Journal of Portfolio Management,2019

4. Market dynamics and momentum profits;Asem;Journal of Financial and Quantitative Analysis,2010

5. Fact, fiction, and momentum investing;Asness;Journal of Portfolio Management,2014

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