.../methodology/approach Using data from all firms listed on the Casablanca Stock Exchange (2001–2020), we employ Fama and MacBeth (1973) methodology to investigate stock anomalies related to fundamental firm characteristics and the momentum anomaly. We test single-factor and multi-factor models. Subsequently...

...Le Quy Duong; Philippe Bertrand Purpose Although the solid empirical proof of momentum is documented in various stock markets, there are many debates among academics with respect to the source of momentum profit. The first aim of this paper is intensively re-examine the momentum profit in Vietnam...

...Ajay Bhootra Purpose The purpose of this paper is to examine the combined performance of momentum and a gross profitability-based strategy. The motivation stems from the strong performance of momentum on the short side and profitability on the long side, suggesting a potentially superior combined...

...Liu Liu Kong; Min Bai; Peiming Wang Purpose – The purpose of this paper is to examine whether the framework of Prospect Theory and Mental Accounting proposed by Grinblatt and Han (2005) can be applied to analyzing the relationship between the disposition effect and momentum in the Chinese stock...

...Mohamed Sahbi Nakhli; Lotfi Belkacem Purpose The purpose of this paper is to test the performance of momentum strategies and identify the sources of their profits. Design/methodology/approach To identify the main source of momentum profits, first, the bootstrap method with replacement was used...

...Ding Du Purpose The purpose of this paper is to re‐examine the sources of momentum profits by focusing on momentum in monthly returns. Design/methodology/approach The paper utilizes a decomposition method proposed by Du and Watkins. Findings Different from previous studies, it is found...

..., they were momentum traders in the tranquil period from 2002 to 2006 and contrarian traders in the period of 2007‐2008 financial crisis. Third, such herding behavior has positive impacts on future industrial returns both in the tranquil period as well as in turbulent time. The authors thus conclude...

... model Liquidity Momentum Stock markets Japan Portfolio management The identification of a correct asset pricing model has long been an important theme in financial economic literature. Such a model not only explains the behavior of stock returns but also strengthens the ability to forecast...

...Don U.A. Galagedera; Michael E. Drew; Madhu Veeraraghavan; Min Ye Purpose The purpose of this paper is to investigate the profitability of momentum investment strategy and the predictive power of trading volume for equities listed in the Australian Stock Exchange. Design/methodology/approach...