Li, Xiafei; Brooks, Chris; Miffre, Joelle - Henley Business School, University of Reading - 2006
This study assesses whether the widely documented momentum profits can be ascribed to time-varying risk as described by a GJR-GARCH(1,1)-M model. Consistent with rational pricing in efficient markets, we reveal that momentum profits are a compensation for time-varying unsystematic risks, common...