缩放
动量(技术分析)
计算机科学
经济
物理
地质学
古生物学
金融经济学
镜头(地质)
标识
DOI:10.1016/j.irfa.2024.103217
摘要
Portfolios sorted by momentum show stronger return monotonicity than those formed using other anomalies. Compared with other strategies, the performance of such a momentum strategy improves monotonically with the number of portfolios. These improvements are significant beyond the influences of the usual pricing factors. Momentum factors based on more portfolios span those based on fewer portfolios, whereas the opposite effects do not hold. The evidence reported in this study suggests that a momentum factor formed on >10 portfolios sharpens the factor and its stylized facts.
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