FX Research - Momentum

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Momentum

Equity Markets

•	Carhart, M.M., 1997. “On persistence in mutual fund performance”. Journal of Finance.

•	Louis K. C. Chan & Narasimhan Jegadeesh & Josef Lakonishok, 1995. "Momentum Strategies,", Journal of Finance, Voluime 51, Issue 5, 1681-1713.

•	Jegadeesh, Narasimham, and Titman, Sheridan, 1993. “Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency”. Journal of Finance 48, 93-130.

•	Narasimhan Jegadeesh & Sheridan Titman, 1999. "Profitability of Momentum Strategies: An Evaluation of Alternative Explanations," NBER Working Papers 7159, National Bureau of Economic Research, Inc.

•	Michael J. Cooper & Roberto C. Gutierrez & Allaudeen Hameed, 2004. "Market States and Momentum," Journal of Finance, American Finance Association, vol. 59(3), pages 1345-1365, 06.

•	Charles M.C. Lee & Bhaskaran Swaminathan, 2000. "Price Momentum and Trading Volume," Journal of Finance, American Finance Association, vol. 55(5), pages 2017-2069.

•	L Ederington, J H Lee, ""The Creation and Resolution of Market Uncertainty: The Impact of Information Releases on Implied Volatility", The Journal of Financial and Quantitative Analysis, Vol. 31, No. 4 (Dec., 1996), pp. 513-539

Style Momentum

•	Chen HL, De Bondt W, 2004. "Style Momentum within the S&P 500 index", Journal of Empirical Finance 11, 483-507.

Industry Momentum

Moskowitz TJ, Grinblatt M, 1999. "Do industries explain momentum?", Journal of Finance 54(4), pp 1249-1290.

Cross Country Momentum

Griffin JM, Ji X, Martin S, 2003. "Momentum investing and business cycle risk: Evidence from pole to pole.", Journal of Finance 58, pp 2515-2547.

Other Equity Markets

UK: Weimin Lui & Norman Strong & Xinzhong Xu, 1999. "The Profitability of Momentum Investing," Journal of Business Finance & Accounting, Blackwell Publishing, vol. 26(9-10), pages 1043-1091.

Foreign Exchange

•	Sanjeev Bhojraj, 2006. "Macromomentum: Returns Predictability in International Equity Indices," Journal of Business, University of Chicago Press, vol. 79(1), pages 429-428, January.

•	Michael Dueker, Christopher Neely, "Can Markov Switching Models Predict Excess Foreign Exchange Returns", Working Paper Series, Federal Reserve Bank of St Louis, Nov 2001 (Revised March 2006).

•	Stephan Schulmeister, 2005. "The Interaction between Technical Currency Trading and Exchange Rate Fluctuations,"Finance 0512033, Economics Working Paper Archive EconWPA.

•	Michael Dueker & Christopher J. Neely, 2004. "Can Markov switching models predict excess foreign exchange returns?," Working Papers 2001-021, Federal Reserve Bank of St. Louis.

•	Okunev J & White D, "Do Momentum Based Strategies Still Work in Foreign Currency Markets?"

•	Allan Timmermann & Halbert White & Ryan Sullivan, 1998. "Data-Snooping, Technical Trading, Rule Performance and the Bootstrap," FMG Discussion Papers dp303, Financial Markets Group.

Commodities Momentum

•	Miffre, Joelle & Rallis, Georgios, 2007. "Momentum strategies in commodity futures markets," Journal of Banking & Finance, Elsevier, vol. 31(6), pages 1863-1886, June.

Technical Analysis

•	Andrew Lo & Harry Mamaysky & Jiang Wang. "Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation", Journal of Finance, Vol IV(4), August 2000.

Behavioral Explanations

•	Kent Daniel & David Hirshleifer & Avanidhar Subrahmanyam, 1998. "Investor Psychology and Security Market Under- and Overreactions," Journal of Finance, American Finance Association, vol. 53(6), pages 1839-1885, December.

•	Sadka, Ronnie, 2006. "Momentum and post-earnings-announcement drift anomalies: The role of liquidity risk," Journal of Financial Economics, Elsevier, vol. 80(2), pages 309-349, May.

•	Sias, Richard W., Causes and Seasonality of Momentum Profits. Financial Analysts Journal, Vol. 63, No. 2, pp. 48-54, 2007.