Showing 1 - 10 of 10
Persistent link: https://www.econbiz.de/10003804746
Persistent link: https://www.econbiz.de/10003900742
Persistent link: https://www.econbiz.de/10003522397
Persistent link: https://www.econbiz.de/10001709440
Persistent link: https://www.econbiz.de/10001570585
Persistent link: https://www.econbiz.de/10001548712
Persistent link: https://www.econbiz.de/10001567350
We combine self-collected historical data from 1867 to 1907 with CRSP data from 1926 to 2012, to examine the risk and return over the past 140 years of one of the most popular mechanical trading strategies - momentum. We find that momentum has earned abnormally high risk-adjusted returns - a...
Persistent link: https://www.econbiz.de/10010442553
Persistent link: https://www.econbiz.de/10010440192
Persistent link: https://www.econbiz.de/10010441388