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Cross-stock momentum and factor momentum

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اقرأ أكثر حفظ في قائمتي
  • المؤلفون: Yan, Jingda; Yu, Jialin
  • نوع التسجيلة:
    Electronic Resource
  • الدخول الالكتروني :
    http://repository.hkust.edu.hk/ir/Record/1783.1-132897
    https://doi.org/10.1016/j.jfineco.2023.103716
    http://lbdiscover.ust.hk/uresolver?url_ver=Z39.88-2004&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rfr_id=info:sid/HKUST:SPI&rft.genre=article&rft.issn=0304-405X&rft.volume=150&rft.issue=2&rft.date=2023&rft.spage=&rft.aulast=Yan&rft.aufirst=Jingda&rft.atitle=Cross-stock+momentum+and+factor+momentum&rft.title=Journal+of+Financial+Economics
    http://www.scopus.com/record/display.url?eid=2-s2.0-85172327979&origin=inward
    http://gateway.isiknowledge.com/gateway/Gateway.cgi?GWVersion=2&SrcAuth=LinksAMR&SrcApp=PARTNER_APP&DestLinkType=FullRecord&DestApp=WOS&KeyUT=001137913700001
  • معلومة اضافية
    • Publisher Information:
      Elsevier B.V. 2023
    • نبذة مختصرة :
      Cross-stock momentum builds on the asymmetry in lead-lag linkages and the difference between long-run and short-run contemporaneous co-movements. Data-driven cross-stock linkages generate a monthly alpha of 1.62% (t-stat=10.03). The asymmetry distinguishes cross-stock momentum from factor momentum, and industry momentum is not subsumed by factor momentum. Factor momentum profit is mostly due to the high cross-stock links. The data-driven linkages vary faster over time than those in previous studies because short-run co-movements incorporate persistent linkages. © 2023
    • الموضوع:
      Asymmetric cross-autocorrelation; Cross-stock momentum; Factor momentum; Network; Time-varying linkage; Article
    • Availability:
      Open access content. Open access content
    • Note:
      English
    • Other Numbers:
      HNK oai:repository.hkust.edu.hk:1783.1-132897
      Journal of Financial Economics, v. 150, (2), November 2023, article number 103716
      0304-405X
      1415833655
    • Contributing Source:
      HONG KONG UNIV OF SCI & TECH, THE
      From OAIster®, provided by the OCLC Cooperative.
    • الرقم المعرف:
      edsoai.on1415833655
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