Question
4 According to the momentum effect, winner stocks on average generate high returns than loser stocks on average. Historically, winner stocks and loser stocks have
4 According to the momentum effect, winner stocks on average generate high returns than loser stocks on average. Historically, winner stocks and loser stocks have similar market beta. This means the winner-minus-loser return (2)
A. Cannot be fully explained by the CAPM model
B. Generate zero alpha in the CAPM model
C. Generate negative alpha in the CAPM model
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Financial Markets Of Eastern Europe And The Former Soviet Union
Authors: François Perquel
1st Edition
1855733404,1782420002
