Time Series Momentum Trading Strategy and Autocorrelation Amplification

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Time Series Momentum Trading Strategy and Autocorrelation Amplification

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Journa of Eprca Fnance, Grnba, M. In uppor of MOP, e ao fnd ha our reu conen h na under-reacon and deayed over-reacon ore. Journa of Bankng and Fnance, 34, Menkhoff, L.

Journa of Fnanca Econoc 3, Menkhoff, L. Moenu table, facor prcng, and acro-econoc rk. Sze, vaue, and oenu n nernaona ock reurn. Raona oenu effec. Journa of Fnanca Econoc 6, Impact, N.