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Time series momentum: Is it there? · Study

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ArticleTime series momentum: Is it there?

Dashan Huang2018

OA

Articlegreen2018

Time series momentum: Is it there?

Dashan Huang · Jiangyuan Li · Liyao Wang · Guofu Zhou

117 citations·0/0 files stored·Journal of Financial Economics

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Financial Markets and Investment Strategies Financial Risk and Volatility Modeling Stock Market Forecasting Methods

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References

1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency 1965The Behavior of Stock-Market Prices 2007A Comprehensive Look at The Empirical Performance of Equity Premium Prediction 1988Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test 2007Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average?1980On estimating the expected return on the market 1990Evidence of Predictable Behavior of Security Returns 2006Approximately normal tests for equal predictive accuracy in nested models

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Details

Year2018

Typearticle

Published2018-01-01

VenueJournal of Financial Economics

ISSN-L0304-405X

Languageen

Citations117

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1016/j.jfineco.2019.08.004

openalex_workW3122587675

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2019Factor Momentum and the Momentum Factor

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