Risk-managed 52-week high industry momentum, momentum crashes and hedging macroeconomic risk

Grobys, K

Grobys, K (reprint author), Univ Vaasa, Dept Accounting & Finance, Wolffintie 34, Vaasa 65200, Finland.

QUANTITATIVE FINANCE, 2018; 18 (7): 1233

Abstract

This is the first study to investigate the profitability of Barroso and Santa-Clara's [J. Financial Econ., 2015, 116, 111-120] risk-managing approach ......

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