Benjamin Moritz

Ludwig Maximilian University of Munich

Akademiestr. 1/I

Munich, Bavaria 80799

Germany

http://www.benjaminmoritz.de

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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 QuantCo, Inc.
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Abstract:

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