An analysis of momentum and contrarian anomalies using an orthogonal portfolio approach

References

• Ang , A. , Chen , J. and Xing , Y. Downside risk and the momentum effect . NBER Working Paper No. 8643 . 2001 .
   Google Scholar
• Asgharian , H. and Hansson , B. 2005 . Evaluating the importance of missing risk factors using the optimal orthogonal portfolio approach . Journal of Empirical Finance , 12 : 556 – 75 .
   Google Scholar
• Barberis , N. and Shleifer , A. 2003 . Style investing . Journal of Financial Economics , 68 : 161 – 99 .
   Google Scholar
• Fama , E. F. and French , K. R. 1993 . Common risk factors in the returns on stocks and bonds . Journal of Financial Economics , 33 : 3 – 56 .
   Google Scholar
• Fama , E. F. and French , K. R. 1996 . Multifactor explanations of asset pricing anomalies . Journal of Finance , 51 : 55 – 84 .
   Google Scholar
• Hong , H. and Stein , J. 1999 . A unified theory of underreaction, momentum trading, and overreaction in asset markets . Journal of Finance , 54 : 2143 – 84 .
   Google Scholar
• Jegadeesh , N. and Titman , S. 1995 . Overreaction, delayed reaction, and contrarian profits . Review of Financial Studies , 8 : 973 – 93 .
   Google Scholar
• MacKinlay , A. C. and Pastor , L. 2000 . Asset pricing models: implications for expected returns and portfolio selection . Review of Financial Studies , 13 : 883 – 916 .
   Google Scholar