摘要 : This paper investigates the time-varying relationship between earnings momentum and price momentum. Using a Markov-switching framework, allowing for variation between high volatility and low volatility states, we find that price m... 展开
作者 | Zheng~ Yao Wei~ Peihwang Osmer~ Eric |
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作者单位 | |
期刊名称 | 《Review of quantitative finance and accounting》 |
页码/总页数 | 1145-1213 / 69 |
语种 | 英语 |
关键词 | Earnings momentum Price momentum Markov regime-switching Financial constraints |
DOI | 10.1007/s11156-021-01021-z |
馆藏号 | F-150 |