The combination of momentum and value strategies on the Russian stock market
Analysis the profitability of value, momentum strategies and a combination of strategies in Russian stock market. The explanation of the value premium and momentum effect. Momentum, value and combo portfolio construction and regression analysis.
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Evidence, explanation of the cost of the award. A combination of cost and momentum strategies. Working with abnormal distributions. Testing of median values for significance. Measuring the performance of built portfolios. Conducting regression analysis.
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