Momentum profits and time-varying unsystematic risk.
No === This study assesses whether the widely documented momentum profits can be ascribed to time-varying risk as described by a GJR-GARCH(1,1)-M model. Consistent with rational pricing in efficient markets, we reveal that momentum profits are a compensation for time-varying unsystematic risks, comm...
| Main Authors: | , , , |
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| Language: | en |
| Published: |
2009
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| Subjects: | |
| Online Access: | http://hdl.handle.net/10454/3404 |