Investment momentum: A two‐dimensional behavioural strategy
We propose an investment-momentum strategy of buying past winners with low investment and selling past losers with high investment, which simultaneously exploits two dimensions of market inefficiencies. The new strategy generates twice the monthly returns earned by either the price momentum or inves...
Saved in:
| Main Authors: | , , |
|---|---|
| Format: | Default Article |
| Published: |
2020
|
| Subjects: | |
| Online Access: | https://hdl.handle.net/2134/12937436.v1 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|