Chow, Ying-Foon; Liu, Ming; Fan, Xinting - In: Mathematics and Computers in Simulation (MATCOM) 78 (2008) 2, pp. 181-188
Momentum profits are shown to be driven by the broad-market persistence of returns between the formation period and the holding period, which is measured as the slope coefficient of the regression of the cross-section returns in the holding period on the cross-section returns in the formation...