Momentum, Reversals, and Business Cycle Turning Points.
We study time variation in the profitabilities of medium‐term momentum and long‐term reversals trading strategies over the business cycle. We find reliable evidence that turning points in the business cycle are critically important in determining momentum and reversals profits. Specifically, momentu...
| Publicado en: | Abacus Vol. 57; no. 4; pp. 679 - 709 |
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| Autores principales: | , |
| Formato: | Artículo |
| Publicado: |
Wiley-Blackwell
Dec2021
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| Materias: | |
| Acceso en línea: | Ver este registro en EBSCOhost |