Kos, Hartwig; Todorovic, Natasa - In: The Quarterly Review of Economics and Finance 48 (2008) 3, pp. 520-540
This study investigates survival of the momentum effects in S&P Global 1200 Sector index returns which are underlying indices for iShares, by employing a methodology which allows analyzing the momentum effect without being dependant on zero-investment portfolios. We design a trading strategy...
