construction and focused on investability. Using the U.K. market as a template, we first demonstrate how the popular Datastream … commonly used filters. We show the benefits and need for a supplementary data source. We then develop robust investability …

construction and focused on investability. Using the UK market as a template, we first demonstrate how the popular Datastream … commonly used filters. We show the benefits and need for a supplementary data source. We then develop robust investability …

previous three to 12 months and sell stocks with low returns over the same period) and turnover (number of shares traded … more profitable among high-turnover stocks. In contrast to US evidence, this result is driven mainly by winners: high-turnover … winners have higher returns than low-turnover winners. We present various robustness checks, long-horizon results, evidence on …