Time Series Momentum in Developed and Developing Countries
碩士 === 國立交通大學 === 財務金融研究所 === 102 === This study is based on the Moskowitz (2010) research, uses data of 29 stock index futures of developed and developing countries and finds the effect of time series momentum persists about 12 months and reverses over long horizons. Abnormal returns in a diversifi...
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| Format: | Others |
| Language: | zh-TW |
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2014
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| Online Access: | http://ndltd.ncl.edu.tw/handle/15155623905815953462 |