Recent empirical evidence suggests that value and momentum strategies generate significantexcess returns in emerging …

the characteristics of the portfolio. The results show that neither momentum characteristics nor the valuation of stocks …

This paper explores the profitability of portfolio-based momentum strategies. The data consists of all NYSE, AMEX, and … strong evidence of a momentum effect where an investor takes a long position on the winner portfolio and a short position on …:07 to 1981:12 and 1982:01 to 2002:12 we found that the best momentum strategy was profitable during the first period and not …

a variable that account for momentum effect. These factors are used as benchmarks to investigate the investment style …