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Understanding Momentum and Reversal · Study

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ArticleUnderstanding Momentum and Reversal

Bryan T. Kelly2018

OA

Articlegreen2018

Understanding Momentum and Reversal

Bryan T. Kelly · Tobias J. Moskowitz · Seth Pruitt

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

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Financial Markets and Investment Strategies Financial Analysis and Corporate Governance Financial Risk and Volatility Modeling

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References

1993Common risk factors in the returns on stocks and bonds 1997On Persistence in Mutual Fund Performance 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency 2014A five-factor asset pricing model 1985Does the Stock Market Overreact?1996Multifactor Explanations of Asset Pricing Anomalies 1998Investor Psychology and Security Market Under‐ and Overreactions n.d.A model of investor sentiment /

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2023Option Momentum 2022Asset Pricing and Machine Learning: A critical review 2022The Dynamics of Disagreement 2021Dissecting currency momentum 2024Empirical determinants of momentum: a perspective using international data

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Details

Year2018

Typearticle

Published2018-01-01

VenueJournal of Financial Economics

ISSN-L0304-405X

Languageen

Citations138

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1016/j.jfineco.2020.06.024

openalex_workW3133692830

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