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The time series momentum effect: the impact of information diffusion and time-varying risk

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Bibliographic Details
Main Author:	Yue Fang
Format:	Default Thesis
Published:	2021
Subjects:	Time-Series Momentum Time-Series Industry Momentum Anomaly Value Premium Market Volatility Market Liquidity Information Discreteness Conditional Asset Pricing Models
Online Access:	https://dx.doi.org/10.26174/thesis.lboro.16586297.v1
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