Residual momentum and the cross-section of stock returns: Chinese evidence
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DOI: 10.1016/j.frl.2018.07.009
Abstract: In this paper, I find that sorting stocks into portfolios based on their residual, as opposed to raw past returns, generates significant profits in the Chinese equity market and cannot be subsumed by the well-established… read more here.
Keywords: stock returns; residual momentum; momentum; section stock ... See more keywords