Profitability of Momentum Strategies in the International Equity Markets

By B. Maris. 2001

192 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/ff89aa753cdab7a8c38b2b41e9178da75f5d4af4

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Citations in the corpus

Momentum and mean reversion across national equity markets (2006, background): “equities and those of Asness et al. (1997), Rouwenhorst (1998), Chan et al. (2000) , Griffin et al. (2003), and van der Hart et al. (2002) for international equities.”
Investor Psychology in Capital Markets: Evidence and Policy Implications (2001, background): “Past winners earn higher returns than do past losers at the dates of quarterly earnings announcements occurring in the 7 months following portfolio formation Jegadeesh and Titman (1993); see also Chan et al. (1996). The K. Daniel et al. / Journal of Monetary Economics 49 (2002) 139–209 160”
Contrarian and momentum strategies in the China stock market: 1993–2000 (2002, unknown): “…In order to avoid the bias that can arise from bid–ask spread, price pressure due to illiquid markets, and nonsynchronous data, we skip one trading day between portfolio formation and holding periods for all investment strategies (for similar treatment, see Chan et al., 1999; Lehmann, 1990).”
Currency Momentum Strategies (2012, unknown): “Subsequent studies extend the original research into new domains, including many countries worldwide beyond the U.S. (e.g. Rouwenhorst, 1998, 1999; Chan, Hameed, and Tong, 2000; Chui, Titman, and Wei, 2010) and higher frequencies (Gutierrez Jr. and Kelley, 2008).”
International momentum strategies: a stochastic dominance approach (2005, methodology): “Following Chan et al. (2000), we implement momentum strategies on international stock market indices.”