shortrunmomentum

由 Z ZHU 著作 · 2019 · 被引用 7 次 — We document that a consistent momentum strategy that buys lightly shorted winners and sells heavily shorted losers exhibits strong short-term momentum and no.

由 Q Gong 著作 · 2015 · 被引用 37 次 — Momentum indicates the fact that past winner stocks continue to outperform past losers in terms of their returns in finance literature. ... This finding is ...

由 M Medhat 著作 · 2021 · 被引用 42 次 — The short-term reversal* strategy, which buys the previous month's winners and shorts the losers within the lowest turnover decile, generates a negative and ...

由 A Zaremba 著作 · 2019 · 被引用 28 次 — The short-term momentum returns in these asset universes are weakly, but significantly, correlated to each other. This suggests the potential existence of some ...

2022年6月3日 — The short-term momentum strategy (STMOM) is as profitable and as persistent as conventional price momentum—it survives transaction costs and is ...

由 M Medhat 著作 · 2021 · 被引用 42 次 — Short-term momentum is as profitable and as persistent as conventional price momentum. It survives transaction costs and is strongest among the ...

2021年11月30日 — Momentum is defined as measuring the stock markets' return last week, and if positive, then go long, while if negative, then go short. The trade ...

The general idea behind it is to make long or short entries only when momentum is on ones side. In doing so, a trader aims to reach his/her first profit target ...

由 M Medhat 著作 · 2022 · 被引用 42 次 — Short-term momentum is as profitable and as persistent as conventional price momentum. It survives transaction costs and is strongest among the largest, most ...

由 柯采綾 著作 · 2022 — Ahmad, Z., Hussain, S. (2001). KLSE Long run overreaction and the Chinese New-Year effect. Journal of Business Finance Accounting, 28(1‐2), 63-105.