191
Views
9
CrossRef citations to date
0
Altmetric
Original Articles

Momentum profits and macroeconomic factors

&
Pages 433-436 | Published online: 16 Aug 2006

References

References

  • Barberis , N , Shleifer , A and Vishny , R . 1998 . A model of investor sentiment . Journal of Financial Economics , 49 : 307 – 43 .
  • Bloomfield R Hales J 2001 Predicting the next step of a random walk: experimental evidence of regime shifting biases Working Paper Johnson School Cornell University
  • Chan , LKC , Jegadeesh , N and Lakonishok , J . 1996 . Momentum strategies . Journal of Finance , 51 : 1681 – 713 .
  • Chen , N , Roll , R and Ross , S . 1986 . Economic forces and the stock market . Journal of Business , 59 : 383 – 401 .
  • Fama , E and French , K . 1989 . Business conditions and expected stock returns on stocks and bonds . Journal of Financial Economics , 25 : 23 – 49 .
  • Gregory , A , Harris , R and Michou , M . 2001 . An analysis of contrarian investment strategies in the UK . Journal of Business Finance and Accounting , 28 : 1192 – 228 .
  • Jegadeesh , N and Titman , S . 1993 . Returns to buying winners and selling losers: implications for stock market efficiency . Journal of Finance , 48 : 65 – 91 .
  • Hon M Tonks I 2001 Momentum in the UK stock market Working Paper University of Bristol
  • Hong , H and Stein , JC . 1999 . A unified theory of underreaction, momentum trading and overreaction in assets markets . Journal of Finance , 54 : 2143 – 84 .
  • 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 .
  • Lee , C and Swaminathan , B . 2000 . Price Momentum and trading volume . Journal of Finance , 55 : 2017 – 69 .
  • Liu , W , Strong , N and Xu , X . 1999 . The profitability of momentum investing . Journal of Business Finance and Accounting , 26 : 1043 – 91 .
  • Moscowitz , TJ and Grinblatt , M . 1999 . Do industries explain momentum? . Journal of Finance , 54 : 1249 – 90 .
  • Nelson , RR . 1976 . Inflation and rates of return on common stocks . Journal of Finance , 31 : 471 – 87 .
  • Taylor , SJ and Poon , S . 1991 . Macroeconomic factors and the UK stock market . Journal of Business Finance and Accounting , 18 : 619 – 36 .
  • Rouwenhorst , KG . 1998 . International momentum strategies . Journal of Finance , 53 : 267 – 84 .

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.