References
- Arena, M. P., K. S. Haggard, and X. S. Yan. 2008. “Price Momentum and Idiosyncratic Volatility.” The Financial Review 43: 159–190.
- Asem, E., and G. Y. Tian. 2010. “Market Dynamics and Momentum Profits.” Journal of Financial and Quantitative Analysis 45: 1549–1562.
- Asness, C. 2011. “Momentum in Japan: The Exception that Proves the Rule.” The Journal of Portfolio Management 37: 67–75.
- Barberis, N., A. Shleifer, and R. Vishny. 1998. “A Model of Investor Sentiment.” Journal of Financial Economics 49: 307–343.
- Carhart, M. M. 1997. “On Persistence in Mutual Fund Performance.” The Journal of Finance 52: 57–82.
- Cheema, M. A., G. V. Nartea, and Y. Man. 2017. “Cross-Sectional and Time Series Momentum Returns and Market States.” International Review of Finance, doi: 10.1111/irfi.12148.
- Chui, A. C., S. Titman, and K. J. Wei. 2010. “Individualism and Momentum around the World.” The Journal of Finance 65: 361–392.
- Chui, A. C. W., K. C. Wei, and S. Titman. 2000. “Momentum, Legal Systems and Ownership Structure: An Analysis of Asian Stock Markets.” University of Texas at Austin working paper. U.S.A.
- Cooper, M. J., R. C. Gutierrez, and A. Hameed. 2004. “Market States and Momentum.” The Journal of Finance 59: 1345–1365.
- Daniel, K., and T. J. Moskowitz. 2016. “Momentum Crashes.” Journal of Financial Economics 122: 221–247.
- Daniel, K. D., D. Hirshleifer, and A. Subrahmanyam. 1998. “Investor Psychology and Security Market Under- and Overreactions.” The Journal of Finance 53: 1839–1885.
- Fama, E. F., and K. R. French. 1996. “Multifactor Explanations of Asset Pricing Anomalies.” The Journal of Finance 51: 55–84.
- Fama, E. F., and K. R. French. 2012. “Size, Value, and Momentum in International Stock Returns.” Journal of Financial Economics 105: 457–472.
- Gong, Q., M. Liu, and Q. Liu. 2015. “Momentum Is Really Short-Term Momentum.” Journal of Banking & Finance 50: 169–182.
- Goyal, A., and N. Jegadeesh. 2015. Cross-Sectional and Time-Series Tests of Return Predictability: What Is the Difference?. Available at SSRN 2610288. U.S.A.
- Griffin, J. M., P. J. Kelly, and F. Nardari. 2010. “Do Market Efficiency Measures Yield Correct Inferences? A Comparison of Developed and Emerging Markets.” The Review of Financial Studies 23: 3225–3277.
- Griffin, J. M., X. Ji, and J. S. Martin. 2003. “Momentum Investing and Business Cycle Risk: Evidence from Pole to Pole.” Journal of Finance 58: 2515–2547.
- Grobys, K. 2016. “Another Look at Momentum Crashes: Momentum in the European Monetary Union.” Applied Economics 48: 1759–1766.
- Hanauer, M. 2014. “Is Japan Different? Evidence on Momentum and Market Dynamics.” International Review of Finance 14: 141–160.
- Hong, H., and J. C. Stein. 1999. “A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets.” The Journal of Finance 54: 2143–2184.
- Ince, O. S., and R. B. Porter. 2006. “Individual Equity Return Data from Thomson Datastream: Handle with Care!” Journal of Financial Research 29: 463–479.
- Jegadeesh, N., and S. Titman. 1993. “Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency.” The Journal of Finance 48: 65–91.
- Jegadeesh, N., and S. Titman. 2001. “Profitability of Momentum Strategies: An Evaluation of Alternative Explanations.” The Journal of Finance 56: 699–720.
- Lesmond, D. A., M. J. Schill, and C. Zhou. 2004. “The Illusory Nature of Momentum Profits.” Journal of Financial Economics 71: 349–380.
- Liu, S., and Z. Zhu. 2009. “Transaction Costs and Price Volatility: New Evidence from the Tokyo Stock Exchange.” Journal of Financial Services Research 36: 65–83.
- Mclean, R. D. 2010. “Idiosyncratic Risk, Long-Term Reversal, and Momentum.” Journal of Financial and Quantitative Analysis 45: 883–906.
- Moskowitz, T. J., Y. H. Ooi, and L. H. Pedersen. 2012. “Time Series Momentum.” Journal of Financial Economics 104: 228–250.
- Naranjo, A., and B. Porter. 2007. “Including Emerging Markets in International Momentum Investment Strategies.” Emerging Markets Review 8: 147–166.
- Novy-Marx, R. 2012. “Is Momentum Really Momentum?.” Journal of Financial Economics 103: 429–453.
- Schmidt, P. S., U. Von Arx, A. Schrimpf, A. F. Wagner, and A. Ziegler 2014. “On the Construction of Common Size, Value and Momentum Factors in International Stock Markets: A Guide with Applications”. Swiss Finance Institute Research Paper. Switzerland.
- Shleifer, A., and R. W. Vishny. 1997. “The Limits of Arbitrage.” The Journal of Finance 52: 35–55.