Benouda Sioud, Olfa; Ben Mhenni Haj Youssef, Houda; El … - Université Paris-Dauphine (Paris IX) - 2009
This paper analyses the impact of industrial diversification on the profitability of contrarian and momentum strategies. Our findings show that the momentum strategy seems to be no more profitable in the recent years. In fact, while momentum strategies earn large positive and significant returns...