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Comparison of the multicriteria decision-making methods for equity portfolio selection : the U.S. evidence

Pätäri, Eero; Karell, Ville; Luukka, Pasi; Yeomans, … - In: European journal of operational research : EJOR 265 (2018) 2, pp. 655-672

Persistent link: https://www.econbiz.de/10011811476

Can monthly-return rank order reveal a hidden dimension of momentum? : the post-cost evidence from the U.S. stock markets

Pätäri, Eero; Ahmed, Sheraz; Luukka, Pasi; Yeomans, … - In: The North American journal of economics and finance : a … 65 (2023), pp. 1-26

Persistent link: https://www.econbiz.de/10014309932

Can Monthly-Return Rank Order Reveal a Hidden Dimension of Return-Momentum? The Post-Cost Evidence from the U.S. Stock Markets

Pätäri, Eero; Ahmed, Sheraz; Luukka, Pasi; Yeomans, … - 2022

We introduce a new return-momentum indicator that is based on monotonicity of monthly-return rank order within an 11-month lookback period (henceforth abbreviated as MRRO). Based on an extensive post-cost performance comparison of long-only momentum portfolios formed on six stand-alone and 36...

Persistent link: https://www.econbiz.de/10013492050