default author photo

Shen Zhao

University of Macau

University of Macau

Macau

Macau, 0000

Macau

SCHOLARLY PAPERS

3

DOWNLOADS

1,204

TOTAL CITATIONS

0

Scholarly Papers (3)

Actions:
Email selected abstracts
1.

Momentum and Reversal on the Short-Term Horizon: Evidence from Commodity Markets

Number of pages: 81 Posted: 26 Mar 2026 Last Revised: 28 Mar 2026
Shen Zhao, Yiyi Ding, Jianfeng Yu and Wenjin Kang
University of Macau, University of Macau, Tsinghua University - Tsinghua University School of Economics and Management and Faculty of Business Administration, University of Macau
Downloads 511 (177,047)

Abstract:

Loading...

Reversal, Trend-chasing, Liquidity provision, Commodity futures, Momentum

2.

Dynamic Momentum Strategies: Return Dispersion and Predictability

Number of pages: 71 Posted: 13 Jun 2025 Last Revised: 04 Jul 2025
Jiatao Liu, Yongjie Zhang, Yuntian Zhang and Shen Zhao
Xi’an Jiaotong-Liverpool University, Tianjin University, Tianjin University and University of Macau
Downloads 361 (230,418)

Abstract:

Loading...

Momentum, Business cyclce, Uncertainty, Forecast disagreement, Dynamic timing

3.

When Retail Investors Strike: Return Dispersion, Momentum Crashes, and Reversals

Number of pages: 59 Posted: 10 Sep 2025
Jiatao Liu, Yongjie Zhang, Yuntian Zhang and Shen Zhao
Xi’an Jiaotong-Liverpool University, Tianjin University, Tianjin University and University of Macau
Downloads 332 (242,568)

Abstract:

Loading...

Retail Investors, Overreactions, Momentum, Dynamic timing, Return Dispersion