Profitability of momentum strategies in Latin America
This article examines performance of momentum portfolios in Latin America. Conventional momentum produces zero risk-adjusted returns. Residual and model-based momentum strategies are also unable to deliver positive and significant risk-adjusted performance. A third or absolute strength momentum stra...
| Autores Principales: | , , |
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| Formato: | Artículo (Article) |
| Lenguaje: | Inglés (English) |
| Publicado: |
2020
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| Materias: | |
| Acceso en línea: | http://hdl.handle.net/1992/47122 |