Momentum Cycles and Limits to Arbitrage Evidence from Victorian England and Post-Depression US Stock Markets
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https://www.nber.org/papers/w15591
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资源简介：
We evaluate the importance of "Limits to Arbitrage" to explain profitability of momentum strategies. Specifically, when the availability of arbitrage capital is in short supply, momentum cycles last longer, and breaks in momentum cycles are shorter. We demonstrate the robustness of our findings with
提供机构：
美国国家经济研究局
创建时间：
2009-12-01
