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Publication - Professor George Bulkley

    Can the Cross-Sectional Variation in Expected Stock Returns Explain Momentum

    Citation

    Bulkley, I & Nawosah, V, 2009, ‘Can the Cross-Sectional Variation in Expected Stock Returns Explain Momentum’. Journal of Financial and Quantitative Analysis., pp. 777 - 794

    Abstract

    It has been hypothesized that momentum might be rationally explained as a consequence of the cross-section variance of expected returns. We evaluate this explanation We find momentum effects vanish in demeaned returns.

    Full details in the University publications repository