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Non-parametric momentum based on ranks and signs
Tsung Yu Chen
, Pin Huang Chou
, Kuan Cheng Ko
, S. Ghon Rhee
Department of Finance
Research output
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Contribution to journal
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Article
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peer-review
7
Scopus citations
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Keyphrases
Momentum Strategy
100%
Nonparametric
100%
Price Momentum
66%
Holding Period
33%
Daily Returns
33%
Past Returns
33%
Momentum Crashes
33%
Long-term Returns
33%
Return Reversal
33%
Extreme Price Movements
33%
Mathematics
Parametric
100%
Economics, Econometrics and Finance
Price
100%