Twin momentum: Fundamental trends matter
Using both the levels and the time-series trends of a collection of firms' major fundamentals, we find that fundamentals matter after all: they can also generate strong return momentum. A fundamental momentum strategy that goes long stocks with fundamental in the top quintile and short stocks w...
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| Main Authors: | , , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2017
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/lkcsb_research/5157 https://ink.library.smu.edu.sg/context/lkcsb_research/article/6156/viewcontent/Twin20190107.pdf |
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| Institution: | Singapore Management University |
| Language: | English |
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