COMPANY SIZE, TRADING ACTIVITY AND LIQUIDITY AS A DETERMINANTS OF CROSS-SECTIONAL MOMENTUM TRADING STRATEGY ON RUSSIAN STOCK MARKET. PART 2

Autor: Teplova T. V., Mikova E. S.

Publikováno v: Vestnik Novosibirskogo Gosudarstvennogo Universiteta. Seriâ: Socialʹno-Èkonomičeskie Nauki, Vol 14 (3), Pp 5-21 (2014)

Momentum-effect has many interpretations in the practice of investing and in understanding of anomalies in asset prices. We consider a Cross-Sectional momentum effects and the corresponding two medium-term (3 months or more) trading strategies that a

Externí odkaz: https://doaj.org/article/9a68944d33554b67b3ef065745ffabf2