An Institutional Theory of Momentum and Reversal
收藏NBER2008-12-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/w14523
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资源简介：
We propose a rational theory of momentum and reversal based on delegated portfolio management. An investor can hold assets through an index or an active fund. Investing in the active fund involves a time-varying cost, interpreted as managerial perk or ability. The investor responds to an increase in
提供机构：
美国国家经济研究局
创建时间：
2008-12-01
