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Quantitative Finance · Begrippenlijst

Wat is Cross-sectional momentum?

Definition 5.1 Strategies I: Equities and Futures · Hoofdstuk 5 — Momentum

Cross-sectional momentum is the tendency of stocks with high returns over the past three to twelve months, relative to other stocks, to keep outperforming over the next months; the standard strategy ranks stocks on their return from twelve months to one month ago (skipping the most recent month, which reverses) and buys the top and sells the bottom.

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