Kwon, Oh Kang; Satchell, Stephen - In: Journal of risk and financial management : JRFM 13 (2020) 2/27, pp. 1-19
In Kwon and Satchell (2018), a theoretical framework was introduced to investigate the distributional properties of the cross-sectional momentum returns under the assumption that the vector of asset returns over the ranking and holding periods were multivariate normal. In this paper, the...
