profits. Design/methodology/approach – To identify the main source of momentum profits, first, the bootstrap method with … replacement was used. Then, to eliminate the existence of the small sample bias, the bootstrap method without replacement and the … block bootstrap method were employed. In this case, when the authors draw the observations without replacement the random …

profits. Design/methodology/approach – To identify the main source of momentum profits, first, the bootstrap method with … replacement was used. Then, to eliminate the existence of the small sample bias, the bootstrap method without replacement and the … block bootstrap method were employed. In this case, when the authors draw the observations without replacement the random …

profits. Design/methodology/approach – To identify the main source of momentum profits, first, the bootstrap method with … replacement was used. Then, to eliminate the existence of the small sample bias, the bootstrap method without replacement and the … block bootstrap method were employed. In this case, when the authors draw the observations without replacement the random …

bootstrap methods. Specifically, since standard wild bootstrap procedures deliver inconsistent inference, we propose a local … Gaussian (LG) bootstrap, establish its first‐order asymptotic validity, and use Edgeworth expansions to show that the LG … bootstrap inference achieves second‐order asymptotic refinements. Moreover, we provide new Laplace transform‐based estimators of …