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Is the 52-week high momentum strategy profitable outside the US?
16 references·5 citing·38 second hop
Is the 52-week high momentum strategy profitable outside the US? (2005)Is the 52-week high momentum strategy pro…The 52‐Week High and Momentum Investing (2004)The 52‐Week High and Momentum…How rewarding is technical analysis? Evidence from Singapore stock market (2003)How rewarding is technical an…Profitability of Momentum Strategies: An Evaluation of Alternative Explanations (2001)Profitability of Momentum Str…Profitability of Momentum Strategies in the International Equity Markets (2000)Profitability of Momentum Str…Do Industries Explain Momentum? (1999)Do Industries Explain Momentu…International Momentum Strategies (1998)International Momentum Strate…An Anatomy of Trading Strategies (1998)An Anatomy of Trading Strateg…Multifactor Explanations of Asset Pricing Anomalies (1996)Multifactor Explanations of A…Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Returns to Buying Winners and…Efficient Capital Markets: II (1991)Efficient Capital Markets: IIEfficient Capital Markets: II (1991)Efficient Capital Markets: IIWhen Are Contrarian Profits Due to Stock Market Overreaction? (1990)When Are Contrarian Profits D…Are Seasonal Anomalies Real? A Ninety-Year Perspective (1988)Are Seasonal Anomalies Real? …Stock Return Seasonalities and the Tax-Loss Selling Hypothesis: Analysis of the Arguments and Australian Evidence (1983)Stock Return Seasonalities an…New evidence on the nature of size-related anomalies in stock prices (1983)New evidence on the nature of…Estimating betas from nonsynchronous data (1977)Estimating betas from nonsync…Momentum investing: a systematic literature review and bibliometric analysis (2020)Momentum investing: a systema…What premiums do target shareholders expect? Explaining negative returns upon offer announcements (2015)What premiums do target share…International comparison of returns from conventional, industrial and 52-week high momentum strategies (2010)International comparison of r…Momentum profits in the Australian equity market: A matched firm approach (2009)Momentum profits in the Austr…Disentangling Size from Momentum in Australian Stock Returns (2008)Disentangling Size from Momen…The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)On Persistence in Mutual Fund Performance (1997)Price Momentum and Trading Volume (2000)Economic Links and Predictable Returns (2008)Time Series Momentum (2011)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)An Intertemporal Capital Asset Pricing Model (1973)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Illiquidity and stock returns: cross-section and time-series effects (2002)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Industry costs of equity (1997)Investor Psychology and Security Market Under‐ and Overreactions (1998)Corporate financing and investment decisions when firms have information that investors do not have (1984)Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors (2000)Capital markets research in accounting (2001)Risk, Return, and Equilibrium: Empirical Tests (1973)Does the Stock Market Overreact? (1985)Measuring security price performance (1980)The relationship between return and market value of common stocks (1981)A Theory of Intraday Patterns: Volume and Price Variability (1988)Data-Snooping Biases in Tests of Financial Asset Pricing Models (1990)Fundamentals and Stock Returns in Japan (1991)Judgment under Uncertainty: Heuristics and Biases (1974)Differences of Opinion and the Cross Section of Stock Returns (2002)An Engine, Not a Camera (2006)Information Uncertainty and Stock Returns (2006)The Behavior of Stock-Market Prices (1965)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Improved estimation of the covariance matrix of stock returns with an application to portfolio selection (2003)Maxing out: Stocks as lotteries and the cross-section of expected returns (2010)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)The arbitrage theory of capital asset pricing (1976)Inefficient Markets (2000)Short-sale constraints and stock returns (2002)Investor Psychology and Asset Pricing (2001)Value and Momentum Everywhere (2013)
this work references cited by second hop

References

  • 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency11,575 cited
  • 1996Multifactor Explanations of Asset Pricing Anomalies6,710 cited
  • 1991Efficient Capital Markets: II5,346 cited
  • 1977Estimating betas from nonsynchronous data2,751 cited
  • 2001Profitability of Momentum Strategies: An Evaluation of Alternative Explanations2,445 cited
  • 1998International Momentum Strategies1,813 cited
  • 1999Do Industries Explain Momentum?1,770 cited
  • 1990When Are Contrarian Profits Due to Stock Market Overreaction?1,707 cited
  • 1991Efficient Capital Markets: II1,271 cited
  • 1988Are Seasonal Anomalies Real? A Ninety-Year Perspective1,179 cited
  • 1998An Anatomy of Trading Strategies858 cited
  • 2004The 52‐Week High and Momentum Investing801 cited
  • 2000Profitability of Momentum Strategies in the International Equity Markets446 cited
  • 1983New evidence on the nature of size-related anomalies in stock prices337 cited
  • 1983Stock Return Seasonalities and the Tax-Loss Selling Hypothesis: Analysis of the Arguments and Australian Evidence319 cited
  • 2003

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How rewarding is technical analysis? Evidence from Singapore stock market
234 cited

Cited by

  • 2008Disentangling Size from Momentum in Australian Stock Returns42 cited
  • 2020Momentum investing: a systematic literature review and bibliometric analysis42 cited
  • 2009Momentum profits in the Australian equity market: A matched firm approach29 cited
  • 2010International comparison of returns from conventional, industrial and 52-week high momentum strategies28 cited
  • 2015What premiums do target shareholders expect? Explaining negative returns upon offer announcements23 cited