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- W3124465114 abstract "ABSTRACTThis article studies the option-like behaviour of popular momentum strategies implemented in foreign exchange markets. The results confirm recent research findings of strong option-like behaviour for momenutm measures, based on the cumulative return from 12 and 6 months prior to the formation date Surprisingly, there is no such evidence for the popular momentum strategy accounting for a 1-month formation period." @default.
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- W3124465114 date "2017-03-08" @default.
- W3124465114 modified "2023-10-01" @default.
- W3124465114 title "Are momentum crashes pervasive regardless of strategy? Evidence from the foreign exchange market" @default.
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- W3124465114 doi "https://doi.org/10.1080/13504851.2017.1287852" @default.
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