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Momentum is Really Short-Term Momentum

Gong, Qiang - 2014

We demonstrate the estimation biases that arise when stock returns from 12 month prior and 2 month prior are included within intermediate and recent past momentum profits. These biases lead to an overestimation of intermediate past momentum but an underestimation of recent past momentum in the...

Persistent link: https://www.econbiz.de/10013044865