Jackson, Andrew (contributor); Jackson, Tim (contributor) - 2002 - [Elektronische Ressource]
Estimate System.
Abstract
This paper asks whether momentum and post-event drift are manifestations of the
same underlying … there post-event drift for our sample of events, which includes
seasoned equity o erings, re-purchases, equity- nanced … anomalies are momentum
and post-event drift. Momentum refers to the persistent excess returns of winner
portfolios over loser …