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СПИСОК ЛИТЕРАТУРЫ

Монографии и учебники

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Статьи в периодических источниках:

1. Архипов В.М., Захаров И.Ю., Науменко В.В., Смирнов С.Н.. Предпосылки введения количественных мер эффективности для ГЭР // working paper 16/2007/05. — М.: ГУ ВШЭ, 2007

2. Микова Е.С. Тестирование рыночного риска, ликвидности, размера компаний и моментов более высоких порядков при объяснении доходности российских акций// Финансовая аналитика. - 2013. № 150. - C. 43-52.

3. Микова Е.С., Теплова Т.В. Особенности моментум-стратегий на российском фондовом рынке // Финансовые исследования. - 2013. - № 4 (41). - С. 16-32

4. Теплова Т.В. Моментум эффект на рынке акций и инвестиционная торговая стратегия «по течению»: методика тестирования, поиск природы аномалии и развитие модели ценообразования финансовых активов, Управление финансовыми рисками. - 2013. - № 4.-C. 282-295.

5. Теплова Т.В. «Собаки Доу» и «акции стоимости»: на что надеются и что получают инвесторы // Финансовый менеджмент. - 2011. - № 5. C. 75-86.

6. Теплова Т.В. Тестирование практики построения прогнозного бета- коэффициента в конструкции САРМ с учетом низкой ликвидности ценных
бумаг на российском рынке // Аудит и финансовый анализ. - 2010. - № 4. - С. 225-236.

7. Agyei-Ampomah S. (2007) The post-cost profitability of momentum trading strategies: Further evidence from the UK // European Financial Management, 2007. - Vol. 13. No.4. - p.776-802.

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9. Ali A., Trombley M.A. (2006) Short-selling costs and momentum in stock returns // Journal of Business Finance and Accounting, 2006. - Vol. 33. No.3/4.

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10. Alsubaie A., Najand M. (2009) Trading volume, time-varying conditional volatility, and asymmetric volatility spillover in the Saudi stock market // Journal of Multinational Financial Management, 2009. - Vol. 19.- p. 139-159.

11. Amihud Y. (2002) Illiquidity and stock returns: cross-section and time-series effects // Journal of Financial Markets, 2002. - Vol. 5. -p.31-56.

12. Antoniou A., Lam H., Paudyal K. (2007) Profitability of Momentum Strategies in International Markets: The Role of Business Cycle Variables and Behavioural Biases // Journal of Banking and Finance, 2007. - Vol. 31. - No. 3. - p. 955-972.

13. Antoniou C., Doukas J.A., Subrahmanyam A. (2013) Cognitive dissonance, sentiment and momentum // Journal of financial and quantitative analysis, 2013.

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18. Badreddine S., Galariotis E. C.; Holmes P. (2012) The relevance of information and trading costs in explaining momentum profits: Evidence from optioned and
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19. Baltas A. N. (2011) Cross-sectional and Time-Series Momentum in Equity and Futures Markets: Trading Strategies & the Role of Correlation Risk // PhD thesis, Imperial College Business School, 2011.

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31. Cakici, Nusret, Frank J. Fabozzi, Sinan Tan. (2013) Size, Value, and Momentum in Emerging Market Stock Returns // Emerging Markets Review, 2013. - Vol. 16(0). - p. 46-65.

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39. Chang Y-C. (2005) What drives momentum: Behavioral bias, or liquidity risk? // Working paper, University of Washington Business School.

40. Chang Y-C. (2005) What drives momentum: Behavioral bias, or liquidity risk? // Working paper

41. Cheema M. A., G. V. Nartea (2013) Momentum Returns, Market States and the 2007 Financial Crisis // Working paper, 2013.

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Источник: Микова Евгения Сергеевна. Моментум эффект в динамике цен акций российского рынка. Диссертация на соискание ученой степени кандидата экономических наук. Москва - 2014. 2014

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