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Market States and Momentum · Study

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PreprintMarket States and Momentum

Roberto C. Gutierrez2002

OA

Preprintgreen2002

Market States and Momentum

Roberto C. Gutierrez · Michael J. Cooper · Allaudeen Hameed

132 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 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency 1985Does the Stock Market Overreact?1996Multifactor Explanations of Asset Pricing Anomalies 1998Investor Psychology and Security Market Under‐ and Overreactions 1994Comparing Predictive Accuracy 1999By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior 1994Contrarian Investment, Extrapolation, and Risk

Cited by

2005Momentum Profits, Factor Pricing, and Macroeconomic Risk 2011The Cross-Section of Stock Returns and Incentive Pay 2012Tail Risk in Momentum Strategy Returns 2014Momentum Trading, Return Chasing, and Predictable Crashes 2011Currency Momentum Strategies 2007R2 and Price Inefficiency 2012

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Papers that cite the same references — the relational fallback while embeddings are still backfilling.

2004Market States and Momentumarticle · 21 shared references 2002Investor psychology in capital markets: evidence and policy implicationsarticle · 19 shared references 2005Momentum and mean reversion across national equity marketsarticle · 17 shared references 2014Contrarian and momentum trading: a review of the literaturearticle · 17 shared references 2007Feasible Momentum Strategies - Evidence from the Swiss Stock Marketarticle · 16 shared references 2004Momentum investing: A surveyarticle · 16 shared references

Details

Year2002

Typepreprint

Published2002-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations132

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.2139/ssrn.299927

openalex_workW2149917640

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The Global Relation between Financial Distress and Equity Returns

2007Are Emerging Markets More Profitable? Implications for Comparing Weak and Semi-Strong Form Efficiency