Browsing by Author "Szulczyk, Kenneth R."
Now showing items 1-3 of 3
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Cross-sectional and time-series momentum returns and market dynamics: evidence from Japan
(Taylor & Francis (Routledge), 2017)We test the behavioural theories of overconfidence and underreaction on cross-sectional (CS) and time-series (TS) momentum returns in the Japanese stock markets. Both CS and TS momentum returns are large and significant ... -
Does investor sentiment predict the near-term returns of the Chinese stock market?
(2018)Recent evidence on the relationship between investor sentiment and subsequent monthly market returns in China shows that investor sentiment is a reliable momentum predictor since an increase (decrease) in investor sentiment ... -
Searching for rational bubble footprints in the Singaporean and Indonesian stock markets
(Springer, 2017)We re-examine the presence of rational speculative bubbles in the Singaporean and Indonesian stock markets in light of contradictory results in the literature. We employ a mix of descriptive statistics, explosiveness tests ...
