Noise Momentum Around the World

Cai, CX, Faff, R and Shin, Y (2018) Noise Momentum Around the World. Abacus, 54 (1). pp. 79-104. ISSN 0001-3072

Abstract

Metadata

Authors/Creators:
  • Cai, CX
  • Faff, R
  • Shin, Y
Copyright, Publisher and Additional Information: © 2017 Accounting Foundation, The University of Sydney. This is the peer reviewed version of the following article: Cai, C. X., Faff, R. and Shin, Y. (2018), Noise Momentum Around the World. Abacus, 54: 79-104. doi:10.1111/abac.12101, which has been published in final form at https://doi.org/10.1111/abac.12101. This article may be used for non-commercial purposes in accordance with Wiley Terms and Conditions for Self-Archiving. Uploaded in accordance with the publisher's self-archiving policy.
Keywords: Futures and spot prices; Initial mispricing correction; Limited arbitrage; Noise momentum
Dates:
  • Accepted: 5 June 2015
  • Published (online): 20 March 2017
  • Published: March 2018
Institution: The University of Leeds
Academic Units: The University of Leeds > Faculty of Business (Leeds) > Accounting & Finance Division (LUBS) (Leeds)
Depositing User: Symplectic Publications
Date Deposited: 16 Nov 2015 14:51
Last Modified: 20 Mar 2019 01:38
Status: Published
Publisher: Wiley
Identification Number: https://doi.org/10.1111/abac.12101

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