Nonlinear effect of sentiment on momentum

DOI10.1016/J.JEDC.2021.104253zbMath1478.91173OpenAlexW3207417004MaRDI QIDQ2054839

Kai Li

Publication date: 3 December 2021

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

Full work available at URL: https://doi.org/10.1016/j.jedc.2021.104253

zbMATH Keywords

spilloversextrapolationskewnessmomentuminvestor sentiment

Mathematics Subject Classification ID

Financial markets (91G15)

Related Items (1)

Momentum and the cross-section of stock volatility

Cites Work

• Heterogeneous beliefs and adaptive behaviour in a continuous-time asset price model
• An evolutionary CAPM under heterogeneous beliefs
• Asset allocation with time series momentum and reversal
• Herding, trend chasing and market volatility
• Advance information and asset prices
• The Lucas Orchard
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Asset Prices in an Exchange Economy
• Unnamed Item

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