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This is the first study to investigate the profitability of Barroso and Santa-Clara's (2015) risk-managing approach for George and Hwang's (2004) 52-week high momentum strategy in an industrial portfolio setting. The findings indicate that risk-managing adds value as the Sharpe ratio increases,...
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test the profitability of two alternative strategies, one based on the classical overreaction anomaly, the other on a so …-called “inertia anomaly”. Both weekly and monthly data are used. Evidence of anomalies is found predominantly in the case of weekly …
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there is an "inertia anomaly", i.e. after an overreaction day prices tend to move in the same direction for some time. A … the "inertia anomaly" produces profits in the case of the FOREX and the commodity markets, but not in the case of the US …
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there is an "inertia anomaly", i.e. after an overreaction day prices tend to move in the same direction for some time. A … the "inertia anomaly" produces profits in the case of the FOREX and the commodity markets, but not in the case of the US …
Persistent link: https://www.econbiz.de/10010438074
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