References
- Balvers , RJ and Wu , Y . 2006 . Momentum and mean reversion across national equity markets . Journal of Empirical Finance , 13 : 24 – 48 .
- Barberis , N , Shleifer , A and Vishny , R . 1998 . A model of investor sentiment . Journal of Financial Economics , 49 : 307 – 43 .
- Bhojraj , S and Swaminathan , B . 2006 . Macromomentum: evidence of predictability in international equity markets . Journal of Business , 79 : 429 – 51 .
- Chan , K , Hameed , A and Tong , W . 2000 . Profitability of momentum strategies in the international equity markets . Journal of Financial and Quantitative Analysis , 35 : 153 – 73 .
- Daniel , KD , Hirshleifer , D and Subrahmanyam , A . 1998 . Investor psychology and security market under- and overreactions . Journal of Finance , 53 : 1839 – 87 .
- Du , D . 2008 . The 52-week high and momentum investing in international stock indices . The Quarterly Review of Economics and Finance , 48 : 61 – 77 .
- Fama , EF and French , KR . 1996 . Multifactor explanation of asset pricing anomalies . Journal of Finance , 51 : 55 – 84 .
- George , TJ and Hwang , C-Y . 2004 . The 52-week high and momentum investing . Journal of Finance , 59 : 2145 – 76 .
- Griffin , JM , Ji , X and Martin , JS . 2003 . Momentum investing and business cycle risk: evidence from pole to pole . Journal of Finance , 58 : 2515 – 48 .
- Grundy , BD and Martin , SJ . 2001 . Understanding the nature of the risks and the source of the rewards to momentum investing . Review of Financial Studies , 14 : 29 – 78 .
- Hong , H and Stein , JC . 1999 . A unified theory of underrreaction, momentum trading and overreaction in asset markets . Journal of Finance , 54 : 2143 – 84 .
- 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 .
- Lewellen , J . 2002 . Momentum and autocorrelation in stock returns . Review of Financial Studies , 15 : 533 – 63 .
- Marshall , BR and Cahan , RM . 2005 . Is the 52-week high momentum strategy profitable outside the US? . Applied Financial Economics , 15 : 1259 – 67 .
- Moskowitz , TJ and Grinblatt , M . 1999 . Do industries explain momentum? . Journal of Finance , 54 : 1249 – 90 .
- Rouwenhorst , KG . 1998 . International momentum strategies . Journal of Finance , 53 : 267 – 84 .
- White , H . 2000 . A reality check for data snooping . Econometrica , 68 : 1097 – 127 .