Abnormal returns with momentum/contrarian strategies using exchange-traded funds
- 29 September 2008
- journal article
- Published by Springer Science and Business Media LLC in Journal of Asset Management
- Vol. 9 (4), 289-299
- https://doi.org/10.1057/jam.2008.27
Abstract
No abstract availableKeywords
This publication has 8 references indexed in Scilit:
- Risk Exposures and International Diversification: Evidence from iSharesJournal of Business Finance & Accounting, 2005
- The illusory nature of momentum profitsJournal of Financial Economics, 2004
- Profitability of Momentum Strategies: An Evaluation of Alternative ExplanationsThe Journal of Finance, 2001
- Profitability of Momentum Strategies in the International Equity MarketsJournal of Financial and Quantitative Analysis, 2000
- Bad News Travels Slowly: Size, Analyst Coverage, and the Profitability of Momentum StrategiesThe Journal of Finance, 2000
- Multifactor Explanations of Asset Pricing AnomaliesThe Journal of Finance, 1996
- Returns to Buying Winners and Selling Losers: Implications for Stock Market EfficiencyThe Journal of Finance, 1993
- Common risk factors in the returns on stocks and bondsJournal of Financial Economics, 1993