Chan Ho Yan Sabrina

University of Cambridge

Trinity Ln

Cambridge, CB2 1TN

United Kingdom

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Return and Risk-Return Ratio Based Momentum Strategies: A Fresh Perspective

Journal of Finance and Investment Analysis, Vol. 2, No. 1, pp 1-13, 2013
Number of pages: 13 Posted: 24 Dec 2012 Last Revised: 20 Feb 2013
Chia Rui Ming Daryl, Lim Kai Jie Shawn and Chan Ho Yan Sabrina
University of Warwick - Department of Statistics, University College London - Department of Economics and University of Cambridge
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Abstract:

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momentum strategies, risk-return ratio based selection criteria, portfolio turnover