... on these results, we create a trading strategy which is found to surpass the buy-and-hold strategy for both the full sample as well as the COVID period for Bitcoin while only during the COVID period for Gold. Our results provide useful implications for investors and policymakers as the Gold and Bitcoin markets can...

... during 2009–2019, the authors build a measure of investors’ overreaction, which is based on trading volume and the sign of stock returns. Consequently, to investigate whether momentum exits after controlling for overreaction, the authors carefully compare trading strategies based on overreaction...

... the efficiency of the cryptocurrency market. The characteristics of the returns during TOM days are compared with that of the non-non-TOM trading days. The authors also develop a trading strategy to earn abnormal returns using the TOM effect. Findings The authors show that TOM returns are positive...

...James Chong Purpose The purpose of this paper is to adopt a trading strategy using upside and downside beta estimates. Design/methodology/approach With daily data from April 30, 1997 to April 30, 2021, the author utilizes the dual-beta model when estimating upside and downside betas...

... is strengthened for smaller firms and firms with positive sentiments. Further, applying a geographic lens to the investigation, it is found that the attention impact is attributable to local investors. Finally, the study demonstrates that local attention-based portfolio formation and trading strategy, i.e. long...