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Understanding Momentum

Published:2005-03 Issue:2 Volume:61 Page:64-82
ISSN:0015-198X
Container-title:Financial Analysts Journal
language:en
Short-container-title:Financial Analysts Journal

Author:

Scowcroft Alan¹,Sefton James²

Affiliation:

1. Alan Scowcroft is managing director at UBS Ltd. and head of Global Equities Quantitative Research, London.

2. James Sefton is a senior quantitative analyst at UBS Ltd. and professor of economics at Tanaka Business School, Imperial College, London.

Publisher

Informa UK Limited

Subject

Economics and Econometrics,Finance,Accounting

Link

https://www.tandfonline.com/doi/pdf/10.2469/faj.v61.n2.2717

Reference31 articles.

1. The Interaction of Value and Momentum Strategies

2. 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

3. Optimal Investment, Growth Options, and Security Returns

4. The Increasing Importance of Industry Factors

5. Profitability of Momentum Strategies in the International Equity Markets

Cited by 47 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Sector exposures in factor portfolios: Why neutralise when you can optimise?;Investment Analysts Journal;2023-07-03

2. Crisis Index Prediction Based on Momentum Theory and Earnings Downside Risk Theory: Focusing on South Korea’s Energy Industry;Energies;2023-02-23

3. Analytical Closed-form Parameterizations for Bounded Rationality of either of Overconfidence or Underconfidence;SSRN Electronic Journal;2022

4. Can Economic Factors Improve Momentum Trading Strategies? The Case of Managed Futures during the COVID-19 Pandemic;Economies;2021-05-28

5. Revisiting momentum profits in emerging markets;Pacific-Basin Finance Journal;2021-02

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