Information Uncertainty and the Momentum Effect
I identify simple proxies for uncertainty and attempt to determine if the returns to a momentum strategy vary with these proxies. The proxies identified include the stock's daily 6-month historical return volatility, the magnitude of alpha in a 6-month historical regression of the stock's...
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| Format: | text |
| Language: | English |
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Institutional Knowledge at Singapore Management University
2008
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/etd_coll/22 https://ink.library.smu.edu.sg/cgi/viewcontent.cgi?article=1021&context=etd_coll |
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| Institution: | Singapore Management University |
| Language: | English |