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The European Journal of Finance Volume 18, 2012 - Issue 6
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Original Articles

International price and earnings momentum

Markus Leippold Department of Banking and Finance, University of Zurich, Plattenstrasse 14, 8032, Zurich, SwitzerlandCorrespondence[email protected]
&
Harald Lohre Deka Investment GmbH, Quantitative Products, Mainzer Landstraße 16, 60325, Frankfurt am Main, Germany
Pages 535-573 | Published online: 02 Nov 2011

Citations (21)

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Read on this site (2)

Matthew Clegg & Christopher Krauss. (2018) Pairs trading with partial cointegration. Quantitative Finance 18:1, pages 121-138.
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Yujing Gong. (2017) Does the Momentum Strategy Work at the Industry Level? Evidence from the Chinese Stock Market. Emerging Markets Finance and Trade 53:5, pages 1072-1092.
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Articles from other publishers (19)

Simarjeet Singh, Nidhi Walia, Sivagandhi Saravanan, Preeti Jain, Avtar Singh & Jinesh jain. (2021) Mapping the scientific research on alternative momentum investing: a bibliometric analysis. Journal of Economic and Administrative Sciences 38:4, pages 619-636.
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Alain Wouassom, Yaz Gülnur Muradoğlu & Nicholas Tsitsianis. (2022) Global momentum: The optimal trading approach. Journal of Behavioral and Experimental Finance 36, pages 100756.
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Yao Zheng, Peihwang Wei & Eric Osmer. (2021) The relation between earnings and price momentum: Does it vary across regimes?. Review of Quantitative Finance and Accounting 58:3, pages 1145-1213.
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Nesrin ÖZKAN. (2021) GROSS PROFITABILITY AND 52-WEEK HIGH PRICEBRÜT KARLILIK VE 52- HAFTANIN YÜKSEK FİYATI. Mehmet Akif Ersoy Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi 8:2, pages 704-719.
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Söhnke M. Bartram, Harald Lohre, Peter F. Pope & Ananthalakshmi Ranganathan. (2021) Navigating the factor zoo around the world: an institutional investor perspective. Journal of Business Economics 91:5, pages 655-703.
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Josef Fink. (2021) A review of the Post-Earnings-Announcement Drift. Journal of Behavioral and Experimental Finance 29, pages 100446.
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Markus Leippold & Roger Rueegg. (2020) Fama–French factor timing: The long‐only integrated approach. European Financial Management.
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Tarunika Jain Agrawal, Sanjay SehgalVibhuti Vasishth. (2020) Firm Attributes, Corporate Fundamentals and Investment Strategies: An Empirical Study for Indian Stock Market. Management and Labour Studies 45:3, pages 366-387.
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Peter S. Schmidt, Urs von Arx, Andreas Schrimpf, Alexander F. Wagner & Andreas Ziegler. (2019) Common risk factors in international stock markets. Financial Markets and Portfolio Management 33:3, pages 213-241.
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Yujing Gong, Mei Wang & Dennis Dlugosch. (2019) Impacts of ambiguity aversion and information uncertainty on momentum: An international study. Pacific-Basin Finance Journal 55, pages 1-28.
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Markus Leippold & Roger Rueegg. (2018) The mixed vs the integrated approach to style investing: Much ado about nothing?. European Financial Management 24:5, pages 829-855.
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Hannah Hühn & Hendrik Scholz. (2018) Alpha Momentum and Price Momentum. International Journal of Financial Studies 6:2, pages 49.
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Fang-Ming Hsu & Chien-Ho Liao. (2016) Does information uncertainty moderate the impact of investors' emotion on stock prices?. Does information uncertainty moderate the impact of investors' emotion on stock prices?.
Martin T. Bohl, Marc-Gregor Czaja & Philipp Kaufmann. (2016) Momentum profits, market cycles, and rebounds: Evidence from Germany. The Quarterly Review of Economics and Finance 61, pages 139-159.
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Reza Tajaddini, Timothy Falcon Crack & Helen Roberts. (2015) Price and Earnings Momentum, Transaction Costs, and an Innovative Practitioner Technique. International Review of Finance 15:4, pages 555-597.
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Sanjay Sehgal & Kanu Jain. (2015) Dissecting sources of price momentum: evidence from India. International Journal of Emerging Markets 10:4, pages 801-819.
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William Forbes & Aloysius Igboekwu. (2013) The explanatory power of representative agent earnings momentum models. Review of Quantitative Finance and Accounting 44:3, pages 473-492.
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Markus Leippold & Harald Lohre. (2014) The dispersion effect in international stock returns. Journal of Empirical Finance 29, pages 331-342.
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Markus Leippold & Harald Lohre. (2010) The Dispersion Effect in International Stock Returns. SSRN Electronic Journal.
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