Time series momentum: evidence from the european equity market

HIGHLIGHTS

• who: Darko B. Vukovic from the International Laboratory for Finance and Financial Markets, Faculty of Economics, People`s Friendship University of Russia (RUDN University) have published the paper: Time series momentum: Evidence from the European equity market, in the Journal: (JOURNAL)
• what: To examine it this study shows the existence of time series momentum in the Euu00ad ropean equity market over longer durations. If the authors implement TSM strategy over a non-diversified portfolio, Sharpe ratio appears positive and large. In general, the study create portfolio of 12-month lag returns of the 24 most . . .
  

   

  

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