Momentum Trading, Return Chasing, and Predictable Crashes
收藏NBER2014-12-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/w20660
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资源简介：
We combine self-collected historical data from 1867 to 1907 with CRSP data from 1926 to 2012, to examine the risk and return over the past 140 years of one of the most popular mechanical trading strategies momentum. We find that momentum has earned abnormally high risk-adjusted returns a three
提供机构：
美国国家经济研究局
创建时间：
2014-12-01
