Cross-sectional and time-series momentum on the JSE
This research report documents multiple accounts of past return-based momentum strategies employed on South African-listed equities over the period 2002.02-2015.05. Two cross-sectional momentum approaches-strategies that go long (short) in assets with relative formation period out performance (under...
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| Format: | Dissertation |
| Language: | English |
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University of Cape Town
2016
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| Online Access: | http://hdl.handle.net/11427/20816 |