Pavel Bandarchuk

State Street Global Advisors

Quantitative Research Analyst

Boston, MA

United States

  • State Street Global Advisors

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Sources of Momentum Profits: Evidence on the Irrelevance of Characteristics

Number of pages: 48 Posted: 23 Dec 2010 Last Revised: 12 Sep 2011
Pavel Bandarchuk and Jens Hilscher
State Street Global Advisors and University of California, Davis
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Citation 7

Abstract:

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Momentum, Past Returns, Volatility, Stock-Level Characteristics, Double Sorts