Yu, Susana; Webb, Gwendolyn - In: Managerial Finance 46 (2020) 11, pp. 1321-1341
Purpose: We extend empirical evidence on the profitability of momentum trading to the realm of plain-equity ETFs. Design/methodology/approach: We employ several ranking measures used in prior research, and for each we apply a traditional ranking based on total return, and a variation based only...