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Idiosyncratic Volatility
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Currency Momentum Strategies
Menkhoff, Lukas
;
Sarno, Lucio
;
Schmeling, Maik
; …
-
Bank for International Settlements (BIS)
-
2011
, there seem to be very effective
limits
to
arbitrage
which prevent momentum returns from being easily exploitable in currency …
Persistent link: https://www.econbiz.de/10009395213
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