Li, Xiafei; Miffre, Joëlle; Brooks, Chris; O'Sullivan, … - In: Journal of Banking & Finance 32 (2008) 4, pp. 541-558
This study assesses whether the widely documented momentum profits can be attributed to time-varying risk as described by a GJR-GARCH(1,1)-M model. We reveal that momentum profits are a compensation for time-varying unsystematic risks, which are common to the winner and loser stocks but affect...
