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Persistent link: https://www.econbiz.de/10013460200
Managed portfolios that exploit positive first-order autocorrelation in monthly excess returns of equity factor portfolios produce large alphas and gains in Sharpe ratios. We document this finding for factor portfolios formed on the broad market, size, value, momentum, investment, profitability,...
Persistent link: https://www.econbiz.de/10012588643