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Residual momentum · Study

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ArticleResidual momentum

David C. Blitz2011

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Articlegreen2011

Residual momentum

David C. Blitz · Joop Huij A · Martin P.E. Martens

186 citations·0/0 files stored·Journal of Empirical Finance

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

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References

1997On Persistence in Mutual Fund Performance 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency 1997Industry costs of equity 1998Investor Psychology and Security Market Under‐ and Overreactions 1999A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets 1998A model of investor sentiment1We are grateful to the NSF for financial support, and to Oliver Blanchard, Alon Brav, John Campbell (a referee), John Cochrane, Edward Glaeser, J.B. Heaton, Danny Kahneman, David Laibson, Owen Lamont, Drazen Prelec, Jay Ritter (a referee), Ken Singleton, Dick Thaler, an anonymous referee, and the editor, Bill Schwert, for comments.1 1990Evidence of Predictable Behavior of Security Returns 2000Bad News Travels Slowly: Size, Analyst Coverage, and the Profitability of Momentum Strategies

Cited by

2012The cross-section of stock returns in frontier emerging markets 2016Two Centuries of Price-Return Momentum 2017The Idiosyncratic Momentum Anomaly 2021Anomalies in the China A-share market 2020

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Details

Year2011

Typearticle

Published2011-01-24

VenueJournal of Empirical Finance

ISSN-L0927-5398

Languageen

Citations186

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1016/j.jempfin.2011.01.003

openalex_workW4240163899

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Does it pay to follow anomalies research? Machine learning approach with international evidence

2017Residual momentum in Japan

2012Managing the Risk of Momentum

2020Momentum investing: a systematic literature review and bibliometric analysis