Momentum and calendar effects
This paper examines the relationship between results of the analysis of the price momentum effect and data mining. Especially, the issue of the day of portfolio formation is considered. The analysis was carried on the basis of daily returns of stocks quoted on Warsaw Stock Exchange in 2003-2010. The...
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| Format: | Article |
| Language: | English |
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AGH UNIVERSITY PRESS
2012-11-01
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| Series: | Managerial Economics |
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| Online Access: | https://journals.agh.edu.pl/manage/article/view/603 |