Journal ArticleDOI
Mapping the scientific research on alternative momentum investing: a bibliometric analysis
TLDR
In this paper, a bibliometric review on alternative momentum approaches is presented, which aims to recognize the current dynamics, prolific contributors and salient trends and propose future research directions in the area of alternative momentum investing, using a blend of electronic database and forward reference searching to ensure the incorporation of all the significant studies.Abstract:
This study aims to recognize the current dynamics, prolific contributors and salient trends and propose future research directions in the area of alternative momentum investing.,The study uses a blend of electronic database and forward reference searching to ensure the incorporation of all the significant studies. With the help of the Scopus database, the present study retrieves 122 research papers published from 1999 to 2020.,The results reveal that alternative momentum investing is an emerging area in the field of momentum investing. However, this area has witnessed an exponential growth in last ten years. The study also finds that North American, West European and East Asian countries dominate in total research publications. Through network citation analysis, the study identifies five major clusters: industrial momentum, earnings momentum, 52-week high momentum, time-series momentum and risk-managed momentum.,The present review will serve as a guide for financial researchers who intend to work on alternative momentum approaches. The study proposes several unexplored research themes in alternative momentum investing on which future studies can focus.,The study embellishes the existing literature on momentum investing by contributing the first bibliometric review on alternative momentum approaches.read more
Citations
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Risk-Managed Industry Momentum and Momentum Crashes
TL;DR: In this article, the authors investigated the impact of different variance forecast horizons on the average payoffs of risk-managed industry momentum payoffs and found that riskmanaged payoffs generate considerably higher returns than plain momentum strategies.
Posted Content
Intraday Time-series Momentum: Evidence from China
TL;DR: In this article, the authors conduct an investigation of intraday time-series momentum across four Chinese commodity futures contracts: copper, steel, soybean, and soybean meal.
Posted Content
Contrarian and momentum trading: a review of the literature
TL;DR: The authors provides a critical review of the literature on contrarian and momentum trading strategies and identifies open issues for future research, and indicates the possible need for: the development of different asset pricing models and propositions that can have practical implications at a more international context.
References
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Journal ArticleDOI
Efficient capital markets: a review of theory and empirical work*
TL;DR: Efficient Capital Markets: A Review of Theory and Empirical Work Author(s): Eugene Fama Source: The Journal of Finance, Vol. 25, No. 2, Papers and Proceedings of the Twenty-Eighth Annual Meeting of the American Finance Association New York, N.Y. December, 28-30, 1969 (May, 1970), pp. 383-417 as mentioned in this paper
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Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency
TL;DR: In this article, the authors show that strategies that buy stocks that have performed well in the past and sell stocks that had performed poorly in past years generate significant positive returns over 3- to 12-month holding periods.
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Does the Stock Market Overreact
TL;DR: In this article, a study of market efficiency investigates whether people tend to "overreact" to unexpected and dramatic news events and whether such behavior affects stock prices, based on CRSP monthly return data, is consistent with the overreaction hypothesis.
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The relationship between return and market value of common stocks
TL;DR: Scholes et al. as discussed by the authors examined the relationship between the total market value of the common stock of a firm and its return and found that small firms had higher risk adjusted returns than large firms.
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Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test
Andrew W. Lo,A. Craig MacKinlay +1 more
TL;DR: In this article, the random walk model is strongly rejected for the entire sampleperiod (1962-1985) and for all subperiods for a variety of aggregate returns indexes and size-sorted porfolios.
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