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Industry momentum strategies and autocorrelations in stock returns · Study

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ArticleIndustry momentum strategies and autocorrelations in stock returns

Ming‐Shiun Pan2003

Article2003

Industry momentum strategies and autocorrelations in stock returns

Ming‐Shiun Pan · Kartono Liano · Gow‐Cheng Huang

39 citations·0/0 files stored·Journal of Empirical Finance

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Financial Markets and Investment Strategies Financial Risk and Volatility Modeling Stock Market Forecasting Methods

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References

1993Common risk factors in the returns on stocks and bonds 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency 1996Multifactor Explanations of Asset Pricing Anomalies 1998Investor Psychology and Security Market Under‐ and Overreactions n.d.A model of investor sentiment /1999A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets 1988Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test 1998A 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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2016Stock return autocorrelations and predictability in the Chinese stock market—Evidence from threshold quantile autoregressive models 2011An Empirical Analysis of Industry Momentum in Chinese Stock Markets

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Year2003

Typearticle

Published2003-12-22

VenueJournal of Empirical Finance

ISSN-L0927-5398

Languageen

Citations39

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1016/j.jempfin.2003.02.001

openalex_workW2004359591

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