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Journal Articles
Revisiting the performance of the scaled momentum strategies
Available to Purchase
Journal:
China Finance Review International
China Finance Review International (2022) 12 (3): 519–539.
Published: 19 January 2022
...Hilal Anwar Butt; Mohsin Sadaqat; Muhammad Tahir Purpose The main purpose of this study is to enunciate the underlying factors that enhance the performance of scaled momentum strategies. Design/methodology/approach In previous studies, the negative relationship between the lagged volatility...
