Kwon, Oh Kang; Satchell, Stephen - In: Journal of Risk and Financial Management 13 (2020) 2, pp. 1-19
cross-sectional momentum returns under the assumption that the vector of asset returns over the ranking and holding periods … returns are multivariate Student's t. In particular, we derive the probability density function and the moments of the cross-sectional … momentum returns and examine in detail the special case of two underlying assets to demonstrate that many of the salient …