International momentum strategies : A stochastic dominance approach

@inproceedings{Fong2005InternationalMS,
  title={International momentum strategies : A stochastic dominance approach},
  author={Wai Mun Fong and Wing Keung Wong},
  year={2005}
}
This paper applies recent econometric tests of stochastic dominance to examine an enduring puzzle in finance: the momentum effect in stock returns (Jegadeesh and Titman 1993). We use stochastic dominance tests to distinguish between the hypothesis that there exists general asset pricing models that can explain momentum versus the alternative hypothesis that there are no asset pricing models consistent with risk-averse investors that can rationalize that effect. Using stock index data for 24… CONTINUE READING
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