Style Switching and Asset Pricing
A paper suggests that exploiting predictability in style demand can yield annualized returns of 12% from both reversals and momentum, according to an examination of return autocorrelations.
Featured in No. 32 on 9 Jan 2024 · 8 days after release · 0 citations today
- Released
- 1 Jan 2024
- First featured
- No. 32 · 9 Jan 2024
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- Identifier
- SSRN 4686997
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