1 |
Fama, Eugene, and Kenneth French, "Multifactor Explanations of Asset Pricing Anomalies", Journal of Finance, Vol. 51, No.2, pp. 55-84, 1996.
DOI
|
2 |
Jegadeesh, Narasimhan, and Sheridan Titman, "Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency", Journal of Finance, Vol. 48, No. 1, pp. 65-91, 1993.
DOI
|
3 |
Jegadeesh, Narasimhan, and Sheridan Titman, "Profitability of Momentum Strategies: An Evaluation of Alternative Explanations", Journal of Finance, Vol. 56, No. 2, pp. 699-721, 2001.
DOI
|
4 |
Asness, Clifford, Tobias Moskowits, and Lasse Heje Pedersen, "Value and Momentum Everywhere", Journal of Finance, Vol. 58, No. 3, pp. 929-985, 2013.
|
5 |
Sang Whan Kim, "Performance Analysis of Transaction Strategy by Using Past Stock Returns", Finance Studies, Vol. 25, No. 2, pp 203-246, 2012.
|
6 |
Kyou-Yung Kim, and Jae-Ouk Ahn, "Does the Momentum Effect in the Korean Stock Market Exist?", Industry and Economy Studies, Vol. 26, No. 4, pp. 1505-1531, 2013.
|
7 |
Asness, Clifford, "Momentum in Japan: The Exception that Proves the Rule", Journal of Portfolio Management, Vol. 37, No.4, pp. 67-75, 2011.
DOI
|
8 |
Fama, Eugene, and Kenneth French, "Size, Value, and Momentum in International Stock Returns", Journal of Financial Economics, Vol. 105, No. 3, pp. 457-472, 2012.
DOI
|
9 |
Fama, Eugene, and Kenneth French, "The Cross-Section of Expected Stock Returns", Journal of Finance, Vol. 47, No. 2, pp. 427-465, 1992.
DOI
|
10 |
Rosenberg, B., K. Reid, and R. Lanstein, "Persuasive Evidence of Market Inefficiency", Journal of Portfolio Management, Vol. 11, No. 3, pp. 9-17, 1985.
DOI
|
11 |
Banz, R., "The Relationship Between Return and Market Value of Common Stocks", Journal of Financial Economics, Vol. 9, No. 1, pp. 3-18, 1981.
DOI
|
12 |
Fama, Eugene, and Kenneth French, "Common Risk Factors in the Returns on Stocks and Bonds", Journal of Financial Economics, Vol. 33, No. 1, pp. 3-56, 1993.
DOI
|
13 |
Lakonishok, J., A. Shleifer, and R. Vishny, "Contrarian Investment, Extrapolation, and Risk", Journal of Finance, Vol. 49, No. 5, pp. 1541-1578, 1994.
DOI
|
14 |
Asness, Clifford, "The Interaction of Value and Momentum Strategies", Financial Analysts Journal, Vol. 53, No. 2, pp. 929-985, 1997.
|
15 |
Fama, Eugene, and Kenneth French, "Dissecting Anomalies", Journal of Finance, Vol. 63, No. 4, pp. 1653-1678, 2008.
DOI
|
16 |
Rouwenhorst, G., "International Momentum Strategies", Journal of Finance, Vol. 53, No. 1, pp. 267-284, 1998.
DOI
|