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a. Let us group all the stocks in the market into 10 equal deciles based on the stocks past 6-month returns. Economists have found that
a. Let us group all the stocks in the market into 10 equal deciles based on the stocks past 6-month returns. Economists have found that longing the best-performing group and shorting the worst-performing group is a profitable trading strategy. This is called the momentum strategy. Which form of market efficiency does the existence of momentum support or contradict? Explain your answer.
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