Momentum, Fama-MacBeth out of Sample Forecast and Return Volatility
碩士 === 國立東華大學 === 財務金融學系 === 103 === This paper aims to discuss the comparison of momentum strategies proposed by Jegadeesh and Titman (1993) and Lewellen’s (2014) out-of-sample forecasts. Some scholars have found that stock returns and expected returns over the past 1~12 months are positively corre...
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| Format: | Others |
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2015
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| Online Access: | http://ndltd.ncl.edu.tw/handle/41327678719186538313 |