The illusory nature of momentum profits
Article Abstract:
The profitability of relative strength or momentum trading strategies, buying past strong performers and selling past weak performers, is re-examined. The results conclude that the magnitude of the abnormal returns associated with the trading strategies creates an illusion of profit opportunity even though none exists.
Publication Name: Journal of Financial Economics
Subject: Economics
ISSN: 0304-405X
Year: 2004
User Contributions:
Comment about this article or add new information about this topic:
Liquidity of emerging markets
Article Abstract:
The new markets feeling huge growth due to heavy foreign investments, these markets can give great returns. Tests done to evaluate the measure the liquidity are explained.
Publication Name: Journal of Financial Economics
Subject: Economics
ISSN: 0304-405X
Year: 2005
User Contributions:
Comment about this article or add new information about this topic:
Asset pricing with liquidity risk
Article Abstract:
The channels by which liquidity risk will impact the prices of assets and the importance of these channels in economy are explained.
Publication Name: Journal of Financial Economics
Subject: Economics
ISSN: 0304-405X
Year: 2005
User Contributions:
Comment about this article or add new information about this topic:
- Abstracts: The distributional impact of health financing in Europe: a review. Conflict resolution and social protection in an era of globalisation: external dimensions to Europe's social policy
- Abstracts: The influence of trend strength on directional probablistic currency predictions. The effects of feedback on judgmental interval predictions
- Abstracts: The application of development economics: general principles and context specificity. Breaking the waves: a Poisson regression approach to Schumpeterian clustering of basic innovations
- Abstracts: The equilibrium allocation of diffusive and jump risks with heterogeneous agents. Optimal portfolios under a value-at-risk constraint
- Abstracts: The evolution of social norms in common property resource use. What can we learn from cultural group selection and co-evolutionary models?