A momentum effect in temporal arithmetic
Sign Up to like & getrecommendations! Published in 2021 at "Cognition"
DOI: 10.1016/j.cognition.2020.104488
Abstract: The mental representation of brief temporal durations, when assessed in standard laboratory conditions, is highly accurate. Here we show that adding or subtracting temporal durations systematically results in strong and opposite biases, namely over-estimation for… read more here.
Keywords: momentum effect; effect temporal; time; effect ... See more keywords
Alternative reversal variable
Sign Up to like & getrecommendations! Published in 2020 at "Finance Research Letters"
DOI: 10.1016/j.frl.2019.06.025
Abstract: In constructing the reversal variable, we tend to ignore the strong momentum in individual stock returns. A simple subtract the average of past 12-month return from previous month return allows us to alleviate the momentum… read more here.
Keywords: reversal; momentum effect; alternative reversal; reversal variable ... See more keywords