Improving factor momentum : statistical significance matters
Year of publication: |
2023
|
---|---|
Authors: | Liu, Yangyi ; Luo, Ronghua ; Zhao, Senyang |
Published in: |
Economics letters. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1765, ZDB-ID 717210-2. - Vol. 233.2023, p. 1-5
|
Subject: | Statistical factor momentum | Pairwise t-test | Volatility | False discoveries | Volatilität | Statistischer Test | Statistical test | Statistische Methode | Statistical method | Statistische Methodenlehre | Statistical theory | Momentenmethode | Method of moments | Kapitaleinkommen | Capital income | Portfolio-Management | Portfolio selection |
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