Dissecting Cross-Stock Momentum
题目:Dissecting Cross-Stock Momentum(理解跨股动量) 摘要:Aiming to capture underreaction to information, previous studies document cross-stock momentum (CSM) where returns of some stocks predict those of related stocks. Re-examining this literature, we document the puzzling fact that CSM returns tend to revert over time. To understand the source of this reversal, we decompose CSM into two disti...
2025-11-30