Alpha Momentum and Price Momentum
We analyze a novel alpha momentum strategy that invests in stocks based on three-factor alphas which we estimate using daily returns. The empirical analysis for the U.S. and for Europe shows that (i) past alpha has power in predicting the cross-section of stock returns; (ii) alpha momentum exhibits...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2018-05-01
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| Series: | International Journal of Financial Studies |
| Subjects: | |
| Online Access: | http://www.mdpi.com/2227-7072/6/2/49 |