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By examining fund returns we find strong evidence that both hedge funds and mutual funds trade on momentum. Moreover, the average hedge fund has modest momentum timing skill, trading more aggressively when momentum profits are higher, while the average mutual fund does not. Momentum trading alone does not translate into superior performance. However, funds with momentum timing ability significantly...
We find strong evidence of time‐series and cross‐sectional momentum in the long–short returns of a comprehensive sample of anomalies. Strategies that exploit such persistence deliver significant abnormal returns that are robust to the stock momentum effect, cannot be explained by traditional asset‐pricing models, and are more pronounced when arbitrage capital is scarcer or market liquidity is lower...
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