when the markets offer high returns. ECINF is not only a priced risk factor, but the most significant factor in our asset … pricing tests, which suggests that ignoring the risk of information asymmetry may give rise to false discoveries of anomalies …. As a case in point, we show that momentum anomalies disappear once we control for the risk of information asymmetry. This …

risk-based explanations of Momentum profits, but we found that market risk is unable to explain the Momentum profitability …The purpose of this study is to examine the profitability of Momentum based- trading strategies and investigate the … causes of such profitability in Damascus Securities Exchange (DSE) market. The study analyzed 16 Momentum strategies based on …

between using the official closing price and the last tick price. The results show a significant improvement of profitability …