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The illusory nature of momentum profits

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  • Lesmond, David A.
  • Schill, Michael J.
  • Zhou, Chunsheng
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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of Financial Economics.

    Volume (Year): 71 (2004)
    Issue (Month): 2 (February)
    Pages: 349-380

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    Handle: RePEc:eee:jfinec:v:71:y:2004:i:2:p:349-380

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    Web page: http://www.elsevier.com/locate/inca/505576

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    22. Harrison Hong & Jeremy C. Stein, 1999. "A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets," Journal of Finance, American Finance Association, vol. 54(6), pages 2143-2184, December.
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    25. Seppi, Duane J, 1997. "Liquidity Provision with Limit Orders and a Strategic Specialist," Review of Financial Studies, Society for Financial Studies, vol. 10(1), pages 103-50.
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