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1. Horse race of weekly idiosyncratic momentum strategies with respect to various risk metrics: Evidence from the Chinese stock market. (2022). Zhou, Wei-Xing ; Shi, Huai-Long.
   In: Papers.
   RePEc:arx:papers:1910.13115.

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2. Maximum drawdown, recovery, and momentum. (2021). Choi, Jae Hyung.
   In: Papers.
   RePEc:arx:papers:1403.8125.

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3. Factor Pricing in Commodity Futures and the Role of Liquidity. (2017). CHONG, Terence Tai Leung ; Chan, Wing ; Tsui, Chun .
   In: MPRA Paper.
   RePEc:pra:mprapa:80555.

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4. Cross-Sectional and Time-Series Momentum Returns and Market States. (2017). Nartea, Gilbert ; Cheema, Muhammad ; Man, Yimei.
   In: MPRA Paper.
   RePEc:pra:mprapa:78989.

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5. Anomalies Abroad: Beyond Data Mining. (2017). Yuan, Yu ; Stambaugh, Robert ; Lu, Xiaomeng.
   In: NBER Working Papers.
   RePEc:nbr:nberwo:23809.

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6. Individual Investor Activity and Performance. (2016). Söderlind, Paul ; Soderlind, Paul ; Dahlquist, Magnus ; Martinez, Jose Vincente .
   In: Working Papers on Finance.
   RePEc:usg:sfwpfi:2014:08.

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7. Paper profits from value, size and momentum: evidence from the Polish market. (2016). Zaremba, Adam ; Konieczka, Przemysaw.
   In: e-Finanse.
   RePEc:rze:efinan:v:11:y:2016:i:3:p:58-69.

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8. Are Value, Size and Momentum Premiums in CEE Emerging Markets only Illusionary?. (2015). Konieczka, Przemyslaw ; Zaremba, Adam.
   In: Czech Journal of Economics and Finance (Finance a uver).
   RePEc:fau:fauart:v:65:y:2015:i:1:p:84-104.

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9. Combining momentum, value, and quality for the Islamic equity portfolio: Multi-style rotation strategies using augmented Black Litterman factor model. (2015). Masih, Abul ; Bacha, Obiyathulla ; Dewandaru, Ginanjar.
   In: Pacific-Basin Finance Journal.
   RePEc:eee:pacfin:v:34:y:2015:i:c:p:205-232.

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10. Decomposition of book-to-market and the cross-section of returns for Chinese shares. (2015). Chatterjee, Sris ; Cakici, Nusret ; Topyan, Kudret.
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:34:y:2015:i:c:p:102-120.

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11. Profitability of time series momentum. (2015). Li, Kai ; He, Xuezhong (Tony).
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:53:y:2015:i:c:p:140-157.

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12. Reward-risk momentum strategies using classical tempered stable distribution. (2015). Choi, Jae Hyung ; Mitov, Ivan ; Kim, Aaron.
    In: Papers.
    RePEc:arx:papers:1403.6093.

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13. When Growth Beats Value: Removing Tail Risk From Global Equity Momentum Strategies. (2014). Smith, Peter ; Thomas, Stephen ; Seaton, James ; Clare, Andrew.
    In: Discussion Papers.
    RePEc:yor:yorken:14/09.

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14. Asset Price Dynamics with Heterogeneous Beliefs and Time Delays. (2014). Li, Kai.
    In: PhD Thesis.
    RePEc:uts:finphd:13.

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15. THE LOW PRICE EFFECT ON THE POLISH MARKET. (2014). Zaremba, Adam ; mudziski, Radosaw .
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    RePEc:rze:efinan:v:10:y:2014:i:1:p:69-85.

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16. Behavioral Finance. (2014). Hirshleifer, David.
    In: MPRA Paper.
    RePEc:pra:mprapa:59028.

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17. Combining Momentum, Value, and Quality for the Islamic Equity Portfolio: Multi-style Rotation Strategies using Augmented Black Litterman Factor Model. (2014). Masih, Abul ; Bacha, Obiyathulla ; Masih, A. Mansur M., ; Dewandaru, Ginanjar.
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    RePEc:pra:mprapa:56965.

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18. Global Style Portfolios Based on Country Indices. (2014). Angelidis, Timotheos ; Tessaromatis, Nikolaos.
    In: MPRA Paper.
    RePEc:pra:mprapa:53094.

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19. Seasonal Effect for Explaining Price Momentum Failure in the Japanese Stock Market. (2014). Teplova, Tamara ; Mikova, Evgeniya.
    In: Economic Alternatives.
    RePEc:nwe:eajour:y:2014:i:3:p:25-42.

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20. Momentum Trading, Return Chasing, and Predictable Crashes. (2014). Jagannathan, Ravi ; Ghysels, Eric ; Chabot, Benjamin.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:20660.

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21. Momentum Crashes. (2014). Daniel, Kent ; Moskowitz, Tobias J..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:20439.

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22. Employee Satisfaction, Labor Market Flexibility, and Stock Returns Around The World. (2014). Zhang, Chendi ; Edmans, Alex ; Li, Lucius.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:20300.

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23. Discount rates, market frictions, and the mystery of the size premium. (2014). de Oliveira Souza, Thiago ; de Oliveira Souza, Thiago, .
    In: Discussion Papers on Economics.
    RePEc:hhs:sdueko:2014_015.

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24. Momentum Trading, Return Chasing and Predictable Crashes. (2014). Jagannathan, Ravi ; Ghysels, Eric ; Chabot, Benjamin.
    In: Working Paper Series.
    RePEc:fip:fedhwp:wp-2014-27.

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25. The determinants of credit spreads changes in global shipping bonds. (2014). Tsouknidis, Dimitris ; Kavussanos, Manolis.
    In: Transportation Research Part E: Logistics and Transportation Review.
    RePEc:eee:transe:v:70:y:2014:i:c:p:55-75.

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26. The predictability of aggregate returns on commodity futures. (2014). Lutzenberger, Fabian T..
    In: Review of Financial Economics.
    RePEc:eee:revfin:v:23:y:2014:i:3:p:120-130.

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27. Physical approach to price momentum and its application to momentum strategy. (2014). Choi, Jae Hyung.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:415:y:2014:i:c:p:61-72.

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28. A neoclassical interpretation of momentum. (2014). Zhang, Lu ; Liu, Laura Xiaolei.
    In: Journal of Monetary Economics.
    RePEc:eee:moneco:v:67:y:2014:i:c:p:109-128.

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29. Is there momentum or reversal in weekly currency returns?. (2014). Visaltanachoti, Nuttawat ; Marshall, Ben ; Raza, Ahmad.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:45:y:2014:i:c:p:38-60.

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30. Size, value, and momentum in developed country equity returns: Macroeconomic and liquidity exposures. (2014). Tan, Sinan ; Cakici, Nusret.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:44:y:2014:i:c:p:179-209.

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31. Conditional risk premia in currency markets and other asset classes. (2014). Weber, Michael ; Maggiori, Matteo ; Lettau, Martin.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:114:y:2014:i:2:p:197-225.

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32. Countercyclical currency risk premia. (2014). Verdelhan, Adrien ; Roussanov, Nikolai ; Lustig, Hanno.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:111:y:2014:i:3:p:527-553.

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33. Exploiting commodity momentum along the futures curves. (2014). de Groot, Wilma ; Zhou, Weili ; Karstanje, Dennis .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:48:y:2014:i:c:p:79-93.

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34. Performance of international and global equity mutual funds: Do country momentum and sector momentum matter?. (2014). Wilkens, Marco ; Scholz, Hendrik ; Breloer, Bernhard.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:43:y:2014:i:c:p:58-77.

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35. Are there common factors in individual commodity futures returns?. (2014). Skiadopoulos, George ; KOSTAKIS, ALEXANDROS ; Daskalaki, Charoula.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:40:y:2014:i:c:p:346-363.

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36. Does revenue momentum drive or ride earnings or price momentum?. (2014). Lee, Cheng Few ; Chen, Sheng-Syan ; Hsin, Chin-Wen.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:38:y:2014:i:c:p:166-185.

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37. The value premium, aggregate risk innovations, and average stock returns. (2014). Simlai, Prodosh ; Lindaas, Knut F..
    In: Finance Research Letters.
    RePEc:eee:finlet:v:11:y:2014:i:3:p:303-317.

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38. What impact does a change of fund manager have on mutual fund performance?. (2014). Sapuric, Svetlana ; Motson, Nick ; Todorovic, Natasa ; Clare, Andrew.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:35:y:2014:i:c:p:167-177.

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39. Trend following, risk parity and momentum in commodity futures. (2014). Smith, Peter ; Thomas, Stephen ; Seaton, James ; Clare, Andrew.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:31:y:2014:i:c:p:1-12.

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40. Cross-sectional predictability of stock returns, evidence from the 19th century Brussels Stock Exchange (1873–1914). (2014). Mensah, Lord ; Annaert, Jan.
    In: Explorations in Economic History.
    RePEc:eee:exehis:v:52:y:2014:i:c:p:22-43.

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41. Price and earnings momentum: An explanation using return decomposition. (2014). Wei, K. C. John, ; Mao, Mike Qinghao.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:28:y:2014:i:c:p:332-351.

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42. The Evolving Beta-Liquidity Relationship of Hedge Funds. (2014). Stefanova, Denitsa ; Siegmann, Arjen.
    In: LSF Research Working Paper Series.
    RePEc:crf:wpaper:14-12.

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43. Momentum Trading, Return Chasing, and Predictable Crashes. (2014). Jagannathan, Ravi ; Chabot, Benjamin ; Ghysels, Eric.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:10234.

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44. Employee Satisfaction, Labor Market Flexibility, and Stock Returns Around The World. (2014). Edmans, Alex ; Li, Lucius ; Zhang, Chendi.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:10066.

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45. Two centuries of trend following. (2014). Y. Lemp'eri`ere, ; Seager, P. ; Potters, M. ; Bouchaud, J. P. ; Deremble, C..
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    RePEc:arx:papers:1404.3274.

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46. Information ratio analysis of momentum strategies. (2014). Yen, Ju-Yi ; Ferreira, Fernando F. ; Silva, Christian A..
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    RePEc:arx:papers:1402.3030.

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47. Tail Risk Premia and Return Predictability. (2014). Bollerslev, Tim ; Todorov, Viktor ; Xu, Lai.
    In: CREATES Research Papers.
    RePEc:aah:create:2014-49.

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48. Global Currency Misalignments, Crash Sensitivity, and Downside Insurance Costs. (2013). Zhao, Yang ; MacDonald, Ronald ; Huang, Huichou.
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    RePEc:pra:mprapa:53745.

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49. Asset Pricing in the Dark: The Cross Section of OTC Stocks. (2013). Ang, Andrew ; Tetlock, Paul C. ; Shtauber, Assaf A..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:19309.

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50. Discount rates, market frictions and the mystery of the size premium. (2013). de Oliveira Souza, Thiago ; Thiago de Oliveira Souza, .
    In: 2013 Papers.
    RePEc:jmp:jm2013:pde868.

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