Do industries explain momentum?
Article Abstract:
This paper documents a strong and prevalent momentum effect in industry components of stock returns which accounts for much of the individual stock momentum anomaly. Specifically, momentum investment strategies, which buy past winning stocks and sell past losing stocks, are significantly less profitable once we control for industry momentum. By contrast, industry momentum investment strategies, which buy stocks from past winning industries and sell stocks from past losing industries, appear highly profitable, even after controlling for size, book-to-market equity, individual stock momentum, the cross-sectional dispersion in mean returns, and potential microstructure influences. (Reprinted by permission of the publisher.)
Publication Name: Journal of Finance
Subject: Business
ISSN: 0022-1082
Year: 1999
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What makes investors trade?
Article Abstract:
This article evaluates buys, sells and holds on the Finnish stock-exchange to identify what determines buying and selling activity. The authors find that investors are reluctant to recognize losses, engage in tax-loss selling, and are affected by past returns and historical price patterns.
Publication Name: Journal of Finance
Subject: Business
ISSN: 0022-1082
Year: 2001
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Strategic behavior and underpricing in uniform price auctions: evidence from Finnish treasury auctions
Article Abstract:
A study on Finnish treasury auctions is presented. The study examines the impact of uniform price auctions on strategic bids submitted by individual bidders that culminate in underpricing of the treasury securities.
Publication Name: Journal of Finance
Subject: Business
ISSN: 0022-1082
Year: 2005
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