Understanding the Sources of Abnormal Returns from the Momentum Strategy.
This thesis studies the sources of the returns from the momentum strategy and attempts to find some hints for the heated debate on the market efficiency hypothesis over the past twenty years. By decomposing the momentum returns from a mathematical model, we investigate directly the contributors and...
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| Format: | Others |
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Trace: Tennessee Research and Creative Exchange
2010
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| Online Access: | http://trace.tennessee.edu/utk_gradthes/847 |