Analyst and Momentum in Emerging Markets
“I find that the momentum trading strategy continues to make profits in the emerging markets, and it does not reverse in the long run, lending support to the underreaction story as proposed by Hong and Stein (1999) and Barberis, Shleifer and Vishny(1998).”
AssetEquities
StrategyMomentummachine learning
GeographyEmerging markets
ClaimProfit
Also stated: Text and news
Missing from abstract: benchmark, out-of-sample test, costs, multiple testing, universe
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