Technical presentation of the models
In: World Bank staff working papers 587
In: Tools for manpower planning 1
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In: World Bank staff working papers 587
In: Tools for manpower planning 1
In: World Bank staff working papers 588
In: Tools for manpower planning 2
In: Economic Record, Band 95, Heft 309, S. 227-247
SSRN
In: International Review of Financial Analysis, Vol. 63, Pages 296-306, 2019
SSRN
In: Review of financial economics: RFE, Band 31, Heft 1, S. 56-63
ISSN: 1873-5924
AbstractThis research offers fresh evidence supporting the pervasiveness of the momentum effect. Two decades after the momentum profitability firstly documented by Jegadeesh and Titman (1993), yet little research has been specifically devised for the momentum profitability on Shari'ah compliant stocks. We assess the momentum profitability over the Shari'ah compliant stocks in a Malaysian setting. We find evidence of strong return persistence as far as toward four‐year holding period. Interestingly, no significant momentum returns are found among the conventional stocks. Upon further exploration we find neither an industry‐driven momentum effect nor the small size firms can account for the momentum returns. Using return persistency formation criteria, we further find that underreaction seems to well fit in explaining this unique long lasting momentum profitability.
In: https://doi.org/10.3905/JPM.2008.35.1.95
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Working paper