The performance of a momentum strategy during bull and bear periods on the JSE/FTSE Africa Top 40 Index
M.Com. (Financial Management) === This paper studies the effects of bull and bear market states on the profitability of a momentum investment strategy. That is, a strategy that buys past winners and sells past losers is simulated over the period 3 July 2002 to 8 August 2012 and its profitability is...
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2014
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| Online Access: | http://hdl.handle.net/10210/9627 |