Bruce Vanstone

Bond University - Bond Business School

Gold Coast

Australia

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Modelling Momentum Winner/Loser Asymmetry: The Sources of Winner and Loser Returns in the Asx200 and S&P500

Accounting & Finance, Vol. 59, pp. 657-684, 2019
Number of pages: 28 Posted: 10 Apr 2019
Nick Inglis, Bruce Vanstone and Tobias Hahn
Bond University, Bond University - Bond Business School and Bond University
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Abstract:

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Anomalies, Momentum, Market efficiency, Winner/loser asymmetry, Winners minus losers anomalies, Semivariance