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- W2010559973 abstract "Cross-sectional returns in Canada are predictable using both momentum and reversal strategies. Synergies realized by focusing on the entire term structure of prior returns lead to better predictability. An enhanced index strategy based on these synergies is profitable most of the time after controlling for transaction costs, although the degree of profitability changes over time. Simulation shows that recent profitability is mainly attributable to the short-side of the momentum strategy. Copyright © 2007 ASAC. Published by John Wiley & Sons, Ltd. Au Canada, les rendements “cross-sectional” sont prévisibles grâce aux stratégies du momentum de la conversion inverse. Les synergies que l'on réalise en se concentrant sur toute la structure à terme des rendements antérieurs débouchent sur une meilleure prévisibilité. Une stratégie d'index améliorée basée sur ces synergies est généralement rentable après le recouvrement des frais de transaction. Mais son degré de rentabilité change avec le temps. La simulation montre que la rentabilité récente est principalement due au caractère incomplet de la stratégie du momentum. Copyright © 2007 ASAC. Published by John Wiley & Sons, Ltd." @default.
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- W2010559973 date "2007-01-01" @default.
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- W2010559973 title "Refining momentum strategies by conditioning on prior long-term returns: Canadian evidence" @default.
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