Wooi Hou Tan

Cyberring Ltd.

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Scholarly Papers (1)

1.

Momentum Profits, Non-Normality Risks and the Business Cycle

Applied Financial Economics, Forthcoming, Cass Business School Research Paper
Number of pages: 39 Posted: 15 Jul 2005 Last Revised: 05 May 2008
Cass Business School, City University of London, Audencia Business School and Cyberring Ltd.
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Abstract:

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Momentum strategy, Abnormal returns, Skewness, Conditional asset pricing