Extreme absolute strength of stocks and performance of momentum strategies
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DOI: 10.1016/j.finmar.2019.01.001
Abstract: Abstract 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… read more here.
Keywords: performance; momentum; absolute strength; extreme absolute ... See more keywords