Concepedia

Isolating momentum crashes

Maik Dierkes, Jan Krupski

Journal of Empirical Finance · 2021 · 21 citations · 30 references

DOI

References

30

Common risk factors in the returns on stocks and bonds

Eugene F. Fama, Kenneth R. French · Journal of Financial Economics · 1993 · 27.7K citations

, , +12

On Persistence in Mutual Fund Performance

Mark M. Carhart · The Journal of Finance · 1997 · 17K citations · Full text

, , +17

Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency

Narasimhan Jegadeesh, Sheridan Titman · The Journal of Finance · 1993 · 11.5K citations

, , +17

On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks

Lawrence R. Glosten, Ravi Jagannathan, David E. Runkle · The Journal of Finance · 1993 · 8.7K citations

, , +17

A five-factor asset pricing model

Eugene F. Fama, Kenneth R. French · Journal of Financial Economics · 2014 · 7.8K citations

, , +12