Gupta, Kartick; Locke, Stuart; Scrimgeour, Frank - In: Journal of International Financial Markets, … 20 (2010) 4, pp. 423-435
The performance of industrial and 52-week high momentum strategies is compared to the conventional strategy, using a large sample of stocks drawn from multiple countries covering a quarter of century to 2007. The sample of 51,879 stocks in 51 countries removes the potential for criticism, such...