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Momentum has its moments
Pedro Barroso,
Pedro Santa-Clara
NOVA School of Business and Economics (NOVA SBE)
Research output
:
Contribution to journal
›
Article
›
peer-review
370
Citations (Scopus)
Overview
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Business & Economics
Investors
61%
Sharpe Ratio
61%
Crash
55%
Momentum Strategies
34%
Kurtosis
30%
Market Factors
29%
Skewness
28%
Factors
9%