Momentum and reversal: the role of short selling

DOI10.1016/J.JEDC.2019.05.001zbMath1418.91644OpenAlexW2945536160MaRDI QIDQ2002665

Xinrui Duan, Jun Tu, Licheng Sun, Zhaobo Zhu

Publication date: 12 July 2019

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://ink.library.smu.edu.sg/lkcsb_research/6667

zbMATH Keywords

momentumshort sellingreversalshort-sale constraints

Mathematics Subject Classification ID

Actuarial science and mathematical finance (91G99)

Related Items (1)

Short selling, divergence of opinion and volatility in the corporate bond market

Cites Work

• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Speculative Investor Behavior in a Stock Market with Heterogeneous Expectations
• Common risk factors in the returns on stocks and bonds

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