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173 views

The Definition(s) of Momentum

I am currently studying the Momentum strategy and its differences in results (returns) when we change the formula describing momentum. There are indeed no accurate formulas for implementing the ...
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0answers
271 views

Backtesting with fundamentals

Recently I've read some books about quantative approach to fundamental investing: - What works on Wall Street - James O'Shaughnessy - Quantitative Value - Wesley Gray, Tobias Carlisle - Quantitative ...
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0answers
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Is there evidence that illiquid stocks, held less by institutions, have more price momentum?

(One of) the standard explanation people gave for momentum is under-reaction of stockholders to firm-specific news. If this is true, then it seems that these stocks should have more momentum, and ...