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Momentum effect in Australian equities: Revisit, armed with short-selling ban and risk factors
16 references·0 citing·37 second hopsampled
Momentum effect in Australian equities: Revisit, armed with short-selling ban and risk factors (2014)Momentum effect in Australian equities: R…Momentum Profits, Factor Pricing, and Macroeconomic Risk (2008)Momentum Profits, Factor Pric…Consumption, Dividends, and the Cross Section of Equity Returns (2005)Consumption, Dividends, and t…The 52‐Week High and Momentum Investing (2004)The 52‐Week High and Momentum…Are Momentum Profits Robust to Trading Costs? (2004)Are Momentum Profits Robust t…Momentum Investing and Business Cycle Risk: Evidence from Pole to Pole (2003)Momentum Investing and Busine…Momentum, Business Cycle, and Time‐varying Expected Returns (2002)Momentum, Business Cycle, and…Momentum and Autocorrelation in Stock Returns (2002)Momentum and Autocorrelation …Understanding the Nature of the Risks and the Source of the Rewards to Momentum Investing (2001)Understanding the Nature of t…Profitability of Momentum Strategies: An Evaluation of Alternative Explanations (2001)Profitability of Momentum Str…Bad News Travels Slowly: Size, Analyst Coverage, and the Profitability of Momentum Strategies (2000)Bad News Travels Slowly: Size…Local Return Factors and Turnover in Emerging Stock Markets (1999)Local Return Factors and Turn…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…Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Returns to Buying Winners and…Data-Snooping Biases in Tests of Financial Asset Pricing Models (1990)Data-Snooping Biases in Tests…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)The General Theory of Employment, Interest and Money. (1936)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Bad News Travels Slowly: Size, Analyst Coverage and the Profitability of Momentum Strategies (1998)The illusory nature of momentum profits (2003)Risk, Return, and Equilibrium: Empirical Tests (1973)Does the Stock Market Overreact? (1985)Investor Psychology and Security Market Under‐ and Overreactions (1998)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 relationship between return and market value of common stocks (1981)Economic Forces and the Stock Market (1986)Commonality in the determinants of expected stock returns (1996)Common Risk Factors in Currency Markets (2011)Replicating Anomalies (2018)Multifactor Explanations of Asset Pricing Anomalies (1996)Investor Psychology and Asset Pricing (2001)Value and Momentum Everywhere (2013)A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets (1999)The Cross‐Section of Volatility and Expected Returns (2006)All That Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors (2007)Liquidity of emerging markets (2005)Liquidity and Asset Prices (2006)Momentum crashes (2016)Market States and Momentum (2004)INDIVIDUAL EQUITY RETURN DATA FROM THOMSON DATASTREAM: HANDLE WITH CARE! (2006)Investor sentiment and stock returns: Some international evidence (2009)Style investing (2003)Momentum and post-earnings-announcement drift anomalies: The role of liquidity risk (2005)Prospect theory, mental accounting, and momentum (2005)
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References

  • 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency11,575 cited
  • 2000Bad News Travels Slowly: Size, Analyst Coverage, and the Profitability of Momentum Strategies2,639 cited
  • 2001Profitability of Momentum Strategies: An Evaluation of Alternative Explanations2,445 cited
  • 1998International Momentum Strategies1,813 cited
  • 1999Do Industries Explain Momentum?1,770 cited
  • 1990Data-Snooping Biases in Tests of Financial Asset Pricing Models1,121 cited
  • 2001Understanding the Nature of the Risks and the Source of the Rewards to Momentum Investing1,003 cited
  • 2003Momentum Investing and Business Cycle Risk: Evidence from Pole to Pole955 cited
  • 1998An Anatomy of Trading Strategies858 cited
  • 1999Local Return Factors and Turnover in Emerging Stock Markets839 cited
  • 2002Momentum, Business Cycle, and Time‐varying Expected Returns812 cited
  • 2004The 52‐Week High and Momentum Investing801 cited
  • 2004Are Momentum Profits Robust to Trading Costs?571 cited
  • 2005Consumption, Dividends, and the Cross Section of Equity Returns570 cited
  • 2002Momentum and Autocorrelation in Stock Returns491 cited

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  • 2008Momentum Profits, Factor Pricing, and Macroeconomic Risk380 cited
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