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Are Momentum Profits Robust to Trading Costs? · Study

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PreprintAre Momentum Profits Robust to Trading Costs?

Robert A. Korajczyk2002

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Preprintgreen2002

Are Momentum Profits Robust to Trading Costs?

Robert A. Korajczyk · Ronnie Sadka

61 citations·0/0 files stored·SSRN Electronic Journal

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Financial Markets and Investment Strategies Financial Analysis and Corporate Governance Stock Market Forecasting Methods

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References

1993Common risk factors in the returns on stocks and bonds 1973Risk, Return, and Equilibrium: Empirical Tests 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency 1985Continuous Auctions and Insider Trading 1985Does the Stock Market Overreact?1996Multifactor Explanations of Asset Pricing Anomalies 2003Liquidity Risk and Expected Stock Returns 1995The Limits of Arbitrage

Cited by

2009An Anatomy of Pairs Trading: The Role of Idiosyncratic News, Common Information and Liquidity 2004Momentum strategies: some bootstrap tests 2010Sources of Momentum Profits: Evidence on the Irrelevance of Characteristics 2009Momentum Cycles and Limits to Arbitrage Evidence from Victorian England and Post-Depression US Stock Markets

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2004Are Momentum Profits Robust to Trading Costs?article · 27 shared references 2004On the source of contrarian and momentum strategies in the Italian equity marketarticle · 17 shared references 2007Analyst Disagreement, Mispricing, and Liquidity*article · 16 shared references 2005Profitable predictability in the cross section of stock returnsarticle · 14 shared references 2004Momentum investing: A surveyarticle · 14 shared references 2002Investor psychology in capital markets: evidence and policy implicationsarticle · 13 shared references

Details

Year2002

Typepreprint

Published2002-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations61

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.2139/ssrn.305282

openalex_workW2136539734

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