Testing Momentum Effect for the US Market: From Equity to Option Strategies
“In modern financial markets, there are countless quantitative and systematic strategies which may test and eventually lead to excess returns when quantified by these conventional stochastic measures.”
AssetEquitiesoptions
StrategyOptions strategiesmomentum
GeographyUS
ClaimExcess return
Missing from abstract: benchmark, out-of-sample test, costs, multiple testing, universe
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