Asymmetric momentum effects under uncertainty

David Kelsey; Roman Kozhan; Wei Pang

doi:10.1093/rof/rfq021

Asymmetric momentum effects under uncertainty

David Kelsey, Roman Kozhan, Wei Pang

Research output: Contribution to journal › Article › peer-review

Original language	English
Pages (from-to)	603-631
Journal	Review of Finance
Volume	15
Issue number	3
DOIs	https://doi.org/10.1093/rof/rfq021
Publication status	Published - Jul 2011
Externally published	Yes

Bibliographical note

Note: This work was supported by the EU NEST STREP, FP6 grant on 'Complex markets' [grant number 516446].

Keywords

market
strategies
overreaction
ambiguity
returns
model
news
Economics and econometrics

Access to Document

10.1093/rof/rfq021

http://dx.doi.org/10.1093/rof/rfq021

Cite this

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title = "Asymmetric momentum effects under uncertainty",

keywords = "market, strategies, overreaction, ambiguity, returns, model, news, Economics and econometrics",

author = "David Kelsey and Roman Kozhan and Wei Pang",

note = "Note: This work was supported by the EU NEST STREP, FP6 grant on 'Complex markets' [grant number 516446].",

year = "2011",

month = jul,

doi = "10.1093/rof/rfq021",

language = "English",

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journal = "Review of Finance",

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AU - Kozhan, Roman

AU - Pang, Wei

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PY - 2011/7

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KW - market

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KW - overreaction

KW - ambiguity

KW - returns

KW - model

KW - news

KW - Economics and econometrics

U2 - 10.1093/rof/rfq021

DO - 10.1093/rof/rfq021

M3 - Article

SN - 1572-3097

VL - 15

SP - 603

EP - 631

JO - Review of Finance

JF - Review of Finance

IS - 3

ER -