Dynamic factors and the source of momentum profits

Journal of Business and Economic Statistics

Volumn 26, Issue 2, 2008, Pages 211-226

  Yao, Tong ^a  

^a UNIVERSITY OF ARIZONA   (United States)

Author keywords

Dynamic principal component; Momentum; Stock return predictability

Indexed keywords

EID: 41649093786     PISSN: 07350015     EISSN: None     Source Type: Journal    
DOI: 10.1198/073500106000000648     Document Type: Article

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