인용/피인용
주식시장의 순위모멘텀 전략
심명화
2018년
' 주식시장의 순위모멘텀 전략' 의 참고문헌
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코스닥 시장의 효율성에 관한 연구김창수 [2000]
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위험프레미엄와 상대적 투자전략의 수익성고봉찬 [1997]
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실현왜도의 주식수익률 예측심명화 [2016]
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변동성을 이용한 반대투자전략에 대한 실증분석박경인 [2006]
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변동성, 왜도, 첨도와 주식수익률의 횡단면심명화 [2016]
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모멘텀전략과 반대전략에 대한 사실성 체크검정윤종인 [2009]
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“모멘텀과 기업규모의 관계”엄윤성 [2013]
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Who gambles in the stock market?Kumar, A. [2009]
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Value and Momentum EverywhereAsness, C. S. [2013]
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Time Series MomentumMoskowitz, T. J. [2012]
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Thirty Years of Prospect Theory in Economics: A Review and AssessmentBarberis, N. C. [2013]
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The short of it: Investor sentiment and anomaliesStambaugh, R. F. [2012]
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The Option to Stock Volume Ratio and Future ReturnsJohnson, T. L. [2012]
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The Market for Borrowing StockD’avolio, G. [2002]
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The Information in Option Volume for Future Stock PricesPan, J. [2006]
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The 52-Week High and Momentum InvestingGeorge, T. J. [2004]
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Speculative retail trading and asset pricesHan, B. [2013]
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Skewness Preference and the Valuation of Risk AssetsKraus, A. [1976]
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Short-Sale Constraints and Stock ReturnsJones, C. M. [2002]
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Short sales, institutional investors and the cross-section of stock returnsNagel, S. [2005]
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Securities Lending, Shorting, and PricingDuffie, D. [2002]
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Salience and Consumer ChoiceBordalo, P. [2013]
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Risk, uncertainty, and divergence of opinionMiller, E. M. [1977]
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Risk, return, and equilibrium : Empirical testsFama, E. F. [1973]
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Returns to buying winners and selling losers: Implications for stock market efficiencyJegadeesh, N. [1993]
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Rational Momentum EffectsJohnson, T. C. [2002]
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Prospect Theory: An Analysis of Decision under RiskKahneman, D. [1979]
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Profitability of momentum strategies: an evaluation of alternative explanationsJegadeesh, N. [2001]
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Overconfidence and Speculative BubblesScheinkman, J.A. [2003]
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Option volume and stock prices:Evidence on where informed traders tradeEasley, D. [1998]
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Optimal Beliefs, Asset Prices, and the Preference for Skewed ReturnsBrunnermeier, M. K. [2007]
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Nonparametric Momentum StrategiesChen, T. Y. [2016]
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Nonlinear Pricing Kernels, Kurtosis Preference, and Evidence from the Cross Section of Equity ReturnsDittmar, R. F. [2002]
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Momentum Profits, Factor Pricing, and Macroeconomic RiskLiu, L. X. [2008]
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Momentum Investing and Business Cycle Risk: Evidence from Pole to PoleGriffin, J. M. [2003]
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Market States and MomentumCooper, M. J. [2004]
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Limited attention, information disclosure, and financial reportingHirshleifer, D [2003]
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Limited Arbitrage and Short Sales Restrictions: Evidence from the Options MarketsOfek, E. [2004]
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Is momentum really momentum?Novy-Marx, R. [2012]
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Investor psychology and security market under-and overreactionsDaniel, K. [1998]
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Investor Attention, Overconfidence and Category LearningPeng, L. [2006]
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International Momentum StrategiesRouwenhorst, K. G. [1998]
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Individualism and momentum around the worldChui, A. C. W. [2010]
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Illiquidity and stock returns: cross-section and time-series effectsAmihud, Y. [2002]
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Frog in the pan: Continuous information and momentumDa, Z. [2014]
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Firm-Specific Attributes and the Cross-Section of MomentumSagi, J. S. [2007]
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Expected Idiosyncratic SkewnessBoyer, B. H. [2010]
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Ex Ante Skewness and Expected Stock ReturnsConrad, J. [2013]
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Equilibrium underdiversification and the preference for skewnessMitton, T. [2007]
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Does Realized Skewness Predict the Cross-Section of Equity Returns?Amaya, D. [2015]
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Do Industries Explain Momentum?Moskowitz, T. J. [1999]
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Conditional skewness in asset pricing testsHarvey, C.R [2000]
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Common risk factors in the returns on stocks and bondsFama E. F. [1993]
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Breadth of Ownership and Stock ReturnsChen, J. [2002]
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Alternative Variance-Ratio Tests Using Ranks and SignsWright, J. H. [2000]
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A unified theory of underreaction, momentum trading and overreaction in asset marketsHong, H. [1999]
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A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrixNewey, W. K. [1987]
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A Model of Investor SentimentBarberis, N. [1998]