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Dynamic Factors and the Source of Momentum Profits

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  • Yao, Tong

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  • Yao, Tong, 2008. "Dynamic Factors and the Source of Momentum Profits," Journal of Business & Economic Statistics, American Statistical Association, vol. 26, pages 211-226, April.
    • Handle: RePEc:bes:jnlbes:v:26:y:2008:p:211-226
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    Cited by:

    1. Sanjay Sehgal & Asheesh Pandey, 2012. "Strategic Allocation, Asset Pricing and Prior Return Patterns: Evidence from Indian Commodity Market," Vision, , vol. 16(4), pages 273-281, December.
    2. Hallin, Marc & Liska, Roman, 2011. "Dynamic factors in the presence of blocks," Journal of Econometrics, Elsevier, vol. 163(1), pages 29-41, July.
    3. Boubaker, Sabri & Hamza, Taher & Vidal-García, Javier, 2018. "Financial distress and equity returns: A leverage-augmented three-factor model," Research in International Business and Finance, Elsevier, vol. 46(C), pages 1-15.

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