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Benjamin Moritz

Ludwig Maximilian University of Munich

Akademiestr. 1/I

Munich, Bavaria 80799

Germany

http://www.benjaminmoritz.de

Sal. Oppenheim

Quantitative Researcher

Unter Sachsenhausen 2

Cologne

Germany

http://www.oppenheim.de/deen/index.htm

  • Ludwig Maximilian University of Munich

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Tree-Based Conditional Portfolio Sorts: The Relation between Past and Future Stock Returns

Number of pages: 81 Posted: 05 Mar 2016
Benjamin Moritz and Tom Zimmermann
Ludwig Maximilian University of Munich and Federal Reserve Board
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Abstract:

Cross-sectional asset pricing, Stock market anomalies, Momentum, Machine Learning

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