We propose an enhancement to the well-known market-based investor sentiment index by
Baker, M., and J. Wurgler.(2006.“Investor Sentiment and the Cross-Section of Stock …

Although momentum exists in many markets throughout the world, explanations for
momentum have largely been tested using US data. We investigate the extent to which US …

This paper empirically investigates the asset pricing implications of trade network topology
in the Australian equity market, emphasizing its role in economic shock propagation and …

Momentum, size, and low volatility in emerging markets regularly exhibit increased
correlations across factors and markets in periods of negative returns. I provide a framework …

Recent studies show that most financial market anomalies exhibit a momentum effect. Based
on two datasets,(i) an original 22‐factor sample and (ii) a more comprehensive 187‐factor …

Recent literature shows that momentum strategies exhibit significant downside risks over
certain periods, called “momentum crashes”. We find that high uncertainty of momentum …

After long being one of the main puzzles in asset pricing, momentum has ironically become
a case of observational equivalence. It can now be explained both by behavioral factors …

This paper decomposes the long side of momentum portfolio holdings by comparing the
location of recent prices to historically high prices. Stocks with prices near historical highs …

Momentum profitability depends on the market state, with protracted market gains (UP state)
heralding momentum profits and prolonged market declines (DOWN state) ushering …

Using an approach based on functional data analysis, we address the controversy that
momentum or reversal effect disputes exist in China's A-shares markets. It finds patterns of …