A critique of momentum strategies
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DOI: 10.1057/s41260-018-0080-0
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Cited by:
- Sabri Boubaker & Lechuan Du & Zhenya Liu, 2022.
"Industry momentum with correlation consolidation: evidence from China,"
Journal of Asset Management, Palgrave Macmillan, vol. 23(1), pages 73-82, February.
- Sabri Boubaker & Lechuan Du & Zhenya Liu, 2021. "Industry momentum with correlation consolidation: evidence from China," Post-Print hal-03513394, HAL.
- Liu, Zhenya & Lu, Shanglin & Wang, Shixuan, 2021.
"Asymmetry, tail risk and time series momentum,"
International Review of Financial Analysis, Elsevier, vol. 78(C).
- Zhenya Liu & Shanglin Lu & Shixuan Wang, 2021. "Asymmetry, tail risk and time series momentum," Post-Print hal-03511436, HAL.
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More about this item
Keywords
Momentum; Trend; Portfolio management;All these keywords.
JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
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