Momentum return : is it a compensation for risk?
This thesis examines if momentum returns are compensation for risk. Using a sample period from 1926 through 2006 for all stocks listed in the NYSE, AMEX and NASDAQ we provide a comprehensive analysis of momentum returns both at the portfolio and at the individual stock level, by using firm level and...
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City, University of London
2009
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| Online Access: | http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.507406 |