Profitability of momentum strategies in Latin America
This article examines performance of momentum portfolios in Latin America. Conventional momentum produces zero risk-adjusted returns. Residual and model-based momentum strategies are also unable to deliver positive and significant risk-adjusted performance. A third or absolute strength momentum stra...
- Autores:
-
Berggrun, Luis
Cardona, Emilio
Lizarzaburu Bolaños, Edmundo R.
- Tipo de recurso:
- Article of investigation
- Fecha de publicación:
- 2020
- Institución:
- Colegio de Estudios Superiores de Administración
- Repositorio:
- Repositorio CESA
- Idioma:
- eng
- OAI Identifier:
- oai:repository.cesa.edu.co:10726/5074
- Palabra clave:
- Momentum
Stock returns
Five-factor model
Emerging markets
- Rights
- License
- Acceso Restringido