References
- Alexander , G . 2000 . On back-testing “zero-investment” strategies . Journal of Business , 73 : 255 – 78 .
- Chelley-Steely , P and Siganos , A . 2005 . Momentum profits in alternative stock market structures , Working Paper
- DeBondt , WFM and Thaler , RH . 1985 . Does the stock market overreact? . Journal of Finance , 40 : 793 – 805 .
- Doukas , JA and McKnight , PJ . 2005 . European momentum strategies, information diffusion, and investor conservatism . European Financial Management , 11 : 313 – 38 .
- Fama , EF and French , KR . 1996 . Multifactor explanations of asset pricing anomalies . Journal of Finance , 51 : 55 – 84 .
- Griffin , JM , Ji , S and Martin , JS . 2003 . Momentum investing and business cycle risk: evidence from pole to pole . Journal of Finance , 58 : 2515 – 47 .
- Hong , H , Lim , T and Stein , JC . 2000 . Bad news travels slowly: size, analyst coverage and the profitability of momentum strategies . Journal of Finance , 55 : 265 – 95 .
- Jegadeesh , N . 1990 . Evidence of predictable behaviour of security returns . Journal of Finance , 45 : 881 – 98 .
- Jegadeesh , N and Titman , S . 1993 . Returns to buying winners and selling losers: implications for stock market efficiency . Journal of Finance , 48 : 65 – 91 .
- Jegadeesh , N and Titman , S . 2001 . Profitability of momentum strategies: an evaluation of alternative explanations . Journal of Finance , 56 : 699 – 720 .
- Lesmond , DA , Schill , MJ and Zhou , C . 2004 . The illusory nature of momentum profits . Journal of Financial Economics , 71 : 349 – 80 .
- Liu , W , Strong , N and Xu , X . 1999 . The profitability of momentum investing . Journal of Business Finance and Accounting , 26 : 1043 – 91 .
- Marshall , BR and Cahan , RM . 2005 . Is the 52-week high momentum strategy profitable outside the US? . Applied Financial Economics , 15 : 1259 – 67 .