Bae, Jaewan; Lee, Changjun - In: Journal of derivatives and quantitative studies 29 (2021) 1, pp. 49-72
stock market. We find that the foreigner/institutional illiquidity factor explains the momentum effect. In addition, this … competing asset pricing models in explaining the momentum effect. Finally, when controlling for the duration factor, the … finding indicates that the duration factor is the most important ingredient in understanding the momentum effect in the Korean …