Treating cross‐sectional and time series momentum returns as forecasts-Reference-Cited by-同舟云学术

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Treating cross‐sectional and time series momentum returns as forecasts

Published:2020-12-22 Issue:5 Volume:40 Page:834-848
ISSN:0277-6693
Container-title:Journal of Forecasting
language:en
Short-container-title:Journal of Forecasting

Author:

Kwon Oh Kang¹,Satchell Stephen²

Affiliation:

1. Discipline of Finance University of Sydney Sydney New South Wales Australia

2. Trinity College University of Cambridge Cambridge UK

Publisher

Wiley

Subject

Management Science and Operations Research,Statistics, Probability and Uncertainty,Strategy and Management,Computer Science Applications,Modelling and Simulation

Link

https://onlinelibrary.wiley.com/doi/pdf/10.1002/for.2755

Reference11 articles.

1. On the Unification of Families of Skew-normal Distributions

2. Does the Stock Market Overreact?

3. Cross-Sectional and Time-Series Tests of Return Predictability: What Is the Difference?

4. Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency

5. Generating random correlation matrices based on partial correlations

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