Momentum in Australian style portfolios: risk or inefficiency?-Reference-Cited by-同舟云学术

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Momentum in Australian style portfolios: risk or inefficiency?

Published:2015-03-09 Issue:2 Volume:56 Page:333-361
ISSN:0810-5391
Container-title:Accounting & Finance
language:en
Short-container-title:Account Finance

Author:

Chan Howard¹,Docherty Paul²

Affiliation:

1. Department of Finance The University of Melbourne Melbourne VIC Australia

2. Newcastle Business School The University of Newcastle Newcastle NSW Australia

Funder

Division of Arctic Sciences

Publisher

Wiley

Subject

Economics, Econometrics and Finance (miscellaneous),Finance,Accounting

Link

https://onlinelibrary.wiley.com/doi/pdf/10.1111/acfi.12106

Reference45 articles.

1. On style momentum strategies

2. Price Momentum and Idiosyncratic Volatility

3. Macroeconomic risks and characteristic-based factor models

4. Value and Momentum Everywhere

5. A model of investor sentiment1We are grateful to the NSF for financial support, and to Oliver Blanchard, Alon Brav, John Campbell (a referee), John Cochrane, Edward Glaeser, J.B. Heaton, Danny Kahneman, David Laibson, Owen Lamont, Drazen Prelec, Jay Ritter (a referee), Ken Singleton, Dick Thaler, an anonymous referee, and the editor, Bill Schwert, for comments.1

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