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Revisiting disposition effect and momentum: a quantile regression perspective · Study

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ArticleRevisiting disposition effect and momentum: a quantile regression perspective

Mohamed Shaker Ahmed2020

Article2020

Revisiting disposition effect and momentum: a quantile regression perspective

Mohamed Shaker Ahmed · John A. Doukas

17 citations·0/0 files stored·Review of Quantitative Finance and Accounting

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Financial Markets and Investment Strategies Financial Analysis and Corporate Governance Decision-Making and Behavioral Economics

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References

1973Risk, Return, and Equilibrium: Empirical Tests 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency 2012The Econometrics of Financial Markets 1987A Simple Model of Capital Market Equilibrium with Incomplete Information 1997The Econometrics of Financial Markets 1998Are Investors Reluctant to Realize Their Losses?1998Market efficiency, long-term returns, and behavioral finance1The comments of Brad Barber, David Hirshleifer, S.P. Kothari, Owen Lamont, Mark Mitchell, Hersh Shefrin, Robert Shiller, Rex Sinquefield, Richard Thaler, Theo Vermaelen, Robert Vishny, Ivo Welch, and a referee have been helpful. Kenneth French and Jay Ritter get special thanks.1 2000Bad News Travels Slowly: Size, Analyst Coverage, and the Profitability of Momentum Strategies

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Year2020

Typearticle

Published2020-08-04

VenueReview of Quantitative Finance and Accounting

ISSN-L0924-865X

Languageen

Citations17

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1007/s11156-020-00919-4

openalex_workW3047547622

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