Impact of Market State on Momentum Portfolio Risk and Performance: A Risk-Based Explanation
Description:
The momentum puzzle, i.e., stocks that have performed better in the past tend to perform better in the future, has been a constant challenge to classic finance theory. Prior research has failed to provide valid risk-based explanations because winner portfolios do not exhibit higher risk characteristics. Without a convincing risk explanation, the persistence of momentum profit is a violation of the efficient market hypothesis. Today, the momentum puzzle remains one of the very few major anomalie…
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Date:
December 2019
Creator:
Ren, He
Partner:
UNT Libraries