Momentum Bibliography


Agyei-Ampomah, S. 2007. The post-cost profitability of momentum trading
strategies: Further evidence from the UK. European Financial Management
13: 776–802.

Arena, Matteo, K. S. Haggard, and Xuemin Yan. 2008. Price momentum and
idiosyncratic risk. The Financial Review 43: 159–190.

Badrinath, S., and S. Wahal. 2002. Momentum trading by institutions. Journal
of Finance 57: 2449–2478.

Barber, Brad M., and Terrance Odean. 2000. Trading is hazardous to your
wealth: The common stock investment performance of individual investors,
Journal of Finance 55: 773–806.

Bird, Ron, and Jonathan Whitaker. 2003. The performance of value and
momentum investment portfolios: Recent experience in the major European
markets. Journal of Asset Management 4: 221–246.

Brock, William, Josef Lakonishok, and Blake LeBaron. 1992. Simple technical
trading rules and the stochastic properties of stock returns. Journal of
Finance 47: 1731–1764.

Chan, Kalok, A. Hameed, and W. Tong. 2000. Profitability of momentum
strategies in the international equity markets. Journal of Financial and
Quantitative Analysis 35: 153–172.

Chopra, Navin, Josef Lakonishok, and Jay Ritter. 1992. Measuring abnormal
performance: Do stocks overreact? Journal of Financial Economics 31:

Chordia, Tarun, and Lakshmanan Shivakumar. 2002. Momentum, business
cycle, and time-varying expected returns. Journal of Finance 57: 955–

Chui, A., S. Titman, and K. Wei. 2000. Momentum, ownership structure,
and financial crises: An analysis of Asian stock markets. University of
Texas–Austin working paper.

Conrad, J., Kaul, G., and M. Nimalendran. 1991. Components of shorthorizon
individual security returns. Journal of Financial Economics 29:

Cooper, M. 1999. Filter rules based on price and volume in individual security
overreaction. Review of Financial Studies 12: 901–935.
Daniel, Kent, David Hirshleifer, and Avanidhar Subrahmanyam. 1998. Investor
psychology and security market under- and over-reactions. Journal
of Finance 53: 1839–1885.

DeBondt, Werner, and Richard Thaler. 1985. Does the stock market overreact?
Journal of Finance 40: 793–805.

DeBondt, Werner, and Richard Thaler. 1987. Further evidence on investor
overreaction and stock market seasonality. Journal of Finance 42:

Dijk, Ronald van, and Fred Huibers. 2002. European price momentum and
analyst behavior. Financial Analyst Journal 58: 96–105.

Dooley, M., and J. Schafer. 1983. Analysis of short-run exchange rate behavior:
March 1973 to November 1981. In: Exchange Rate and Trade
Instability: Causes Consequences and Remedies, edited by D. Bigman,
and T. Taya. Cambridge, UK: Ballinger.

Doukas, J. A., and P. J. McKnight. 2005. European momentum strategies,
information diffusion, and investor conservatism. European Financial
Management 11: black porn videos 313–338.

Dueker, M., and C. J. Neely. 2007. Can Markov switching rules predict
foreign exchange returns? Journal of Banking and Finance 31: 279–296.

Falkenstein, Eric G. 1996. Preferences for stock characteristics as revealed
by mutual fund portfolio holdings. Journal of Finance 51: 111–

Fama, Eugene. 1970. Efficient capital markets: A review of theory and empirical
work. Journal of Financ, 25: 383–417.

Fama, Eugene, and Kenneth French. 1996. Multifactor explanations of asset
pricing anomalies. Journal of Finance 51: 55–84.

Fong, W. M., W. K. Wong, and H. H. Lean. 2005. International momentum
strategies: a stochastic dominance porn cartoon approach. Journal of Financial
Markets 8: 89–109.

Friesen, Geoff C., Paul Weller, and Lee M. Dunham. 2009. Price trends and
patterns in technical analysis: A theoretical and empirical examination.
Journal of Banking and Finance 33: 1089–1100.

Elliott, Ralph N. 1938. The wave principle. In R.N. Elliott’s masterworks: The
definitive collection, edited by Robert R. Prechter. Gainesville, GA: New
Classic Libraries.

Gann, William D. 1929. 1929 annual stock forecast. In Supply and demand
letter. New York: W.D. Gann Scientific Service.

Gann, William D., 1935. The basis of my forecasting method. New York:
W.D. Gann.

George, T., and C. Y. Hwang. 2004. The 52-week high and momentum
investing. Journal of Finance 59: 2145–2176.

Gompers, Paul A., and Andrew Metrick, 2001. Institutional investors and
equity prices, Quarterly Journal of Economics 116: 229–259.

Griffin, John, Jeff Harris, and Selim Topaloglu. 2003. The dynamics of institutional
and individual trading. Journal of Finance 58: 2285–2320.

Griffin, John M., Xiuqing Ji, and Spencer Martin. 2003. Momentum investing
and business cycle risk: Evidence from pole to pole. Journal of Finance
20: 2515–2547.

Grinblatt, M., S. Titman, and R. Wermers. 1995. Momentum investment
strategies, portfolio performance, and herding: a study of mutual fund
behavior. American Economic Review 85: 1088–1105.

Grinblatt, Mark, and Matti Keloharju. 2001. What makes investors trade?
Journal of Finance 56: 589–615.

Grossman, Sanford J. 1976. On the efficiency of competitive stock markets
where traders have diverse information. Journal of Finance 31: 573–584.

Grundy, B. D., and J. S. Martin, 2001. Understanding the nature of the risks
and lesbian porn the source of the rewards to momentum investing. The Review of
Financial Studies 14: 29–78.

Gutierrez R., Jr., and E. Kelley. 2008. The long-lasting momentum in weekly
returns. Journal of Finance 63: 415–447.

Hameed A, and Y. Kusnadi. 2002. Momentum strategies: evidence from
pacific basin stock markets. Journal of Financial Research 25: 383–397.

Hamilton, William P. 1922. The stock market barometer. New York: Harper
and Row.

Hanna, J. D., and M. Ready. 2005. Profitable predictability in the crosssection
of stock porn cartoon returns. Journal of Financial Economics 78: 463–505.

Hart, J. V. D., G. D. Zwart, and D. V. Dijk. 2005. The success of stock
selection strategies in emerging markets: Is it risk or behavioral bias?

Emerging Markets Review 6: 238–262.
Hong, Harrison, and Jeremy Stein. 1999. A unified theory of underreaction,
momentum trading and overreaction in asset markets. Journal of

Finance 54: 2143–2184.
Hong, Harrison, T. Lim, and Jeremy Stein. 2000. Bad new travels slowly:
size, analyst coverage, and the profitability of momentum strategies.
Journal of Finance 55: 265–296.

Huang, D. 2006. Market states and international momentum strategies. Quarterly
Review of Economics and Finance 46: 437–446.

Hvidkjaer, Soeren, 2006. A trade-based analysis of momentum. Review of
Financial Studies 19: 457–491.

Jegadeesh, animated porn Narasimhan, 1990. Evidence of predictable behavior of security
returns. Journal of Finance 45: 881–898.

Jegadeesh, Narasimhan, 2000. Discussion of foundations of technical analysis.
Journal of Finance 55: 1765–1770.

Jegadeesh, Narasimhan, and Sheridan Titman. 1993. Returns to buying winners
and selling losers: Implications for stock market efficiency. Journal
of Finance 48: 65–91.

Jegadeesh, Narasimhan, Titman, Sheridan, 1995. Overreaction, delayed reaction
and contrarian profits. Review of Financial Studies 8: 973–993.

Jegadeesh, N., and S. Titman. 2001. Profitability of momentum strategies:
an evaluation of alternative explanations. The Journal of Finance 56:

Jensen, Michael C., and George Bennington. 1970. Random walks and
technical theories: Some additional evidence. Journal of Finance 25:

Jensen, Michael C. 1978. Some anomalous evidence regarding market efficiency.
Journal of Financial Economics 6: 95–101.

Kahneman, D., and A. Tversky. 1979. Prospect theory: An analysis of decisions
under risk. Econometrica 47: 313–327.

Kemp, Alexander G., and Gavin C. Reid. 1971. The random walk hypothesis
and the recent bahaviour of equity prices in Britain. Economica 38:

Korajczyk, Robert A., and Ronnie Sadka. 2004. Are momentum profits robust
to trading costs? Journal of Finance 59: 1039–1082.

Lee, C. M., and B. Swaminathan. 2000. Price Momentum and Trading Volume.
Journal of Finance 55: 2017–2069.

Lehmann, Bruce, 1990. Fads, martingales and market efficiency. Quarterly
Journal of Economics 105: 1–28.

Lesmond, David, David, Schill, and Chunsheng Zhou. 2004. The illusory nature
of momentum profits. Journal of Financial Economics 71: 349–380.
Levy, Robery. 1967. Relative strength as a criterion for investment selection.
Journal of hot lesbian porn Finance 22: 595–610.

Lewellen, Jonathan. 2002. Momentum and autocorrelation in stock returns.
Review of Financial Studies 15: 533–564.

Levich, R., and L. Thomas. 1993. The significance of technical trading rule
profits in the foreign exchange market: A bootstrap approach. Journal
of International Money and Finance 12: 451–474.

Liu, C., and Y. Lee. 2001. Does the momentum strategy work universally? Evidence
from the Japanese stock market. Asia-Pacific adult anime Financial Markets
8: 321–339.

Liu, W., N. Strong, and Xu Xinzhong. 1999. The profitability of momentum
investing. Journal of Business Finance and Accounting 26: 1043–1091.

Lo, A., H. Mamaysky, and J. Wang. 2000. Foundations of technical analysis:
Computations algorithms, statistical inference and empirical implementation.
Journal of Finance 55: 1705–1765.

Malkiel, Burton G. 1973. A random walk down Wall Street: The time-tested
strategy for successful investing. New York: W.W. Norton.

Marshall, B. R., and R. M. Cahan. 2005. Is the 52-week high momentum
strategy profitable outside the US? Applied Financial Economics 15:

Moskowitz, Tobias, and M. Grinblatt. 1999. Do industries explain momentum?
Journal of Finance 54: 1249–1290.

Neely, C. J., Paul A. Weller, and R. Dittmar. 1997. Is technical analysis in the
foreign exchange market profitable? A genetic programming approach.
Journal of Financial and Quantitative Analysis 32: 405–426.

O’Neal, hot lesbian porn Edward S. 2000. Industry momentum and sector mutual funds. Financial
Analyst Journal 56: 37–49.

Park, Seung-Chan. 2010. The moving average ratio and momentum. The
Financial Review 45: 415–447.

Poterba, James M., and Lawrence H. Summers. 1988. Mean reversion in stock
prices: evidence and implications. Journal of Financial Economics 22:

Pruitt, Stephen, and Robert White. 1988. The CRISMA trading system: Who
says technical analysis can’t beat the market? Journal of Portfolio Management
14: 55–58.

Reilly, Frank K., and Edgar A. Norton. 2003. Investments, 6th ed. Florence,
KY: South-Western, Thomson.

Rouwenhort, K. 1998. International Momentum Strategies. Journal of Finance
53: 267–284.

Rouwenhort, K. 1999. Local Return Factors and Turnover in Emerging Stock
Markets. Journal of Finance 54: 1439–1464.

Sapp, Travis, 2010. The 52-week high, momentum, and predicting mutual
fund returns. Review of Quantitative Finance and Accounting, forthcoming.

Schiereck, D., W. DeBondt, and M. Weber. 1999. Contrarian and momentum
strategies in Germany. Financial Analysts Journal 55: 104–116.

Shefrin, H., and M. Statman. 1985. The disposition to sell winners too early
and ride winners too long: Theory and evidence. Journal of Finance
40: 777–790.

Shen, Qian, Andrew C. Szakmary, and Subhash C., Sharma. 2007. An examination
of momentum strategies in commodity futures markets. Journal
of Futures Markets 27: 227–256.

Shen, Qian, Andrew C. Szakmary, and Subhash C. Sharma. 2010, Trend
following trading strategies in commodities futures: A re-examination.
Journal of Banking and Finance 34: 409–426.

Subrahmanyam, A. 2005. Distinguishing between rationales for shorthorizon
predictability in stock returns. Financial Review 40: 11–35.

Sweeney, R., 1986. Beating the foreign exchange market. Journal of Finance,
41: 163–182.

Tabell, lonely milf Anthony, and Edward Tabell. 1964. The case for technical analysis.
Financial Analysts Journal 20: 67–76.

Van Dijk, R., and F. Huibers. 2002. European price momentum and analyst
behavior. Financial Analysts Journal 58: 96–105.

Vassalou, black girl porn Maria, and Kodjo Apedjinou, 2004. Corporate innovation, price
momentum, and equity returns. Columbia University working paper.

One Response to “Momentum Bibliography”

Leave a Comment