Sahbi Nakhli, Mohamed; Belkacem, Lotfi - In: Managerial Finance 39 (2013) 6, pp. 607-619
Purpose – The purpose of this paper is to test the performance of momentum strategies and identify the sources of their … profits. Design/methodology/approach – To identify the main source of momentum profits, first, the bootstrap method with … are the main source of momentum profits. Originality/value – To ensure the random effect of the draws, the authors develop …