Asymmetric momentum effects under uncertainty

Kelsey, David, Kozhan, Roman and Pang, Wei (2011) Asymmetric momentum effects under uncertainty. Review of Finance, 15(3), pp. 603-631. ISSN (print) 1572-3097

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Item Type: Article
Additional Information: This work was supported by the EU NEST STREP, FP6 grant on 'Complex markets' [grant number 516446].
Uncontrolled Keywords: market, strategies, overreaction, ambiguity, returns, model, news
Research Area: Economics and econometrics
Faculty, School or Research Centre: Faculty of Arts and Social Sciences > School of Economics (until November 2012)
Depositing User: Wei Pang Bennett
Date Deposited: 04 Oct 2010 10:29
Last Modified: 31 Aug 2011 11:52

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