Enhancing momentum investment strategy using leverage

Previous studies examine investment strategies based on leverage and momentum; none investigates both variables jointly as an investment strategy. This paper is the first incorporating leverage and momentum together. We show that low past returns (losers) forecast future negative abnormal returns on...

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Veröffentlicht in:	Journal of forecasting 2018-08, Vol.37 (5), p.573-588
Hauptverfasser:	Forner, Carlos, Muradoglu, Yaz Gülnur, Sivaprasad, Sheeja
Format:	Artikel
Sprache:	eng
Schlagworte:	Abnormal returns Default distress stocks Economic models Forecasting Investment policy investment strategy Investments Leverage momentum nonregulated industries Profits Psychological distress Stocks Winners
Online-Zugang:	Volltext
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