Momentum Returns and Transaction Costs in the U.K. Stock Market
This paper evaluates the existence of momentum profits based on the U.K. stock market, by taking into account the transaction costs. It concludes that momentum strategy is profitable in normal cases and transaction costs can only partly explain the momentum return. The research is conducted by formi...
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| Format: | Dissertation (University of Nottingham only) |
| Language: | English |
| Published: |
2010
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| Online Access: | https://eprints.nottingham.ac.uk/24094/ |