The momentum effect in the Tunisian stock market: Risk hypothesis vs. underreaction hypothesis
The purpose of this paper is to examine two controversial explanations for the momentum in the Tunisian stock market: the risk hypothesis and the underreaction hypothesis. To address the risk issue, the five-factor model of Fama and French (2015) was used to estimate the momentum profits. We found a...
| Main Authors: | , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Elsevier
2020-06-01
|
| Series: | Borsa Istanbul Review |
| Subjects: | |
| Online Access: | http://www.sciencedirect.com/science/article/pii/S221484502030003X |