Browsing BI Open by Author "de Andrade, Felipe Pasquotto"
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Quantitative Momentum in the Nordic Markets
de Andrade, Felipe Pasquotto; Strand, Lars Iver (Master thesis, 2018)There is a considerable amount of research on momentum investing in the Nordic markets based on the Generic Momentum Strategy (GMS) of Jegadeesh & Titman (1993). In their Quantitative Momentum Strategy (QMS), Gray & Vogel ...