Analysis of the Factors Influencing Momentum Profits
نویسندگان
چکیده
In this paper, we provide further insight into the stock return momentum phenomena by investigating the sources of momentum profits. Applying statistical factor analysis, we identify the most important variables significantly affecting momentum profits: volatility and changes in the currency component of M1. We also document the periodic dynamics of momentum returns that is their inflation at quarter-, monthand yearends and their deflation at quarter-, monthand year beginnings.
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