Extreme absolute strength of stocks and performance of momentum strategies
We find that removing stocks with extreme absolute strength from typical momentum portfolios can enhance their performance. Using data on common stocks traded on NYSE, AMEX, and NASDAQ, we find that stocks with extreme absolute strength feature very high volatility and are more likely to lose their...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Elsevier B.V.
2019
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| Subjects: | |
| Online Access: | View Fulltext in Publisher |