Asgharian, Hossein; Hansson, Bjorn - In: Applied Economics Letters 16 (2009) 6, pp. 625-628
We use a latent factor approach to investigate if the momentum and contrarian profits, observed in the US stock market, should be considered as risk premiums or have nonrisk-based explanations. The model is also employed as a benchmark to assess the explanatory power of the traditional...