과거 거래량과 수익률에 기초한 포트폴리오 투자성과 분석
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저자
감형규
신용재
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제어번호
103799091
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학술지명
기업경영연구
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권호사항
Vol.
19
No.
1
[
2012
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발행처
한국기업경영학회
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발행처 URL
http://www.kocoma.or.kr
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자료유형
학술저널
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수록면
243-259
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언어
Korean
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출판년도
2012
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등재정보
KCI등재
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판매처
'
과거 거래량과 수익률에 기초한 포트폴리오 투자성과 분석' 의 참고문헌
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한국주식시장에 있어서 반전거래전략과 계속거래전략의 경제적 유용성에 관한 비교연구
김태혁
재무관리연구 14 73-111
[1997]
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코스닥시장의 효율성에 관한 연구
김창수
증권학회지 27 331-361
[2000]
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주식수익률과 거래량을 이용한 투자전략의 성과분석
안영규
Asia-Pacific Journal of Financial Studies 33 1 105-137
[2004]
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위험프레미엄과 상대적세력 투자전략의 수익성
고봉찬
재무관리연구 14 1-21
[1997]
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모멘텀 효과를 이용한 투자전략의 성과에 관한 연구
감형규
기업경영연구 18 1 265-278
[2011]
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거래량을 이용한 계속투자전략과 반전효과
이한재
산업경제연구 17 3 909-929
[2004]
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Volume and Autocovariances in Short-Horizon Individual Security Returns
Conrad, J
Journal of Finance 49 1305-1329
[1994]
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Trading Volume and Serial Correlationin Stock Returns
Campbell, J
Quarterly Journal ofEconomics 107 905-939
[1993]
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The Time-series Relations among Expected Return, Risk, and Bookto- market
Lewellen, J
Journal of Financial Economics 54 5-43
[1999]
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The Profitability of Momentum Investing
Liu, W
Journal of Business, Finance and Accounting 9 1043-1091
[1999]
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Test of Contrarian Investment StrategyEvidence from the French and German StockMarkets
Mun, J. C
International review of FinancialAnalysis 8 215-234
[1999]
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Short-term Contrarion Strategiesin London Stock Exchange : Are They Profitable?Which Factors Affect Them?
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Journalof Business, Finance and Accounting 33 839-867
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Short-run Overreaction in the New Zealand Stock Market
Bowman, R
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[1998]
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Risk-adjusted Long-Term Contarian Profits : Evidence from Non-S&P 500 High-Volume Stocks
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Price momentum and trading volume
Lee, C.
Journal of Finance 55 2017-2069
[2000]
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Overreaction in the Brazilian Stock Market
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On the Contrarian Investment Strategy
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On the Computation of Returns in Test of the Stock Market Overreaction Hypothesis
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Multifactor Explanations of Asset Pricing Anomalies
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Market Statistics and Technical Analysis : The Role of Volume
Blume, L
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Liquidity and Asset Returns : An Alternative Test
Datar, V.
Journal of Financial Markets 1 203-220
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International Momentum Strategies
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Global Momentum Strategies : A PortfolioPerspective
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Further Evidence on Investor Overreaction and Stock Market Seasonality
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Evidence of Predictable Behavior of Security Returns
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Does the Stock Market Overreact?
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Contrarian and Momentum Strategies inGermany
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Contrarian and Momentum Strategies in the China Stock Market : 1993~2000
Kang, J
Pacific Basin Finance Journal 10 243-265
[2002]
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Common Risk Factors in the Returns on Stocks and Bonds
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Journal of Financial Economics 33 3-56
[1993]
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Capital asset prices:A Theory of Market Equilibrium under Conditions of Risk
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Another Look at Time-Varying Risk and Return in a Long-Horizon Contrarian Strategy
Jones, L. S
Journal of Financial Economics 33 119-144
[1993]
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An Anatomy of Trading Strategies
Conrad, J.
Review of Financial Studies 11 489-519
[1998]
'
과거 거래량과 수익률에 기초한 포트폴리오 투자성과 분석'
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