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Profitability of momentum strategies in Latin America
(Elsevier BV, 2020-07)
This article examines performance of momentum portfolios in Latin America. Conventional momentum produces zero risk-adjusted returns. Residual and model-based momentum strategies are also unable to deliver positive and ...
Industry momentum in Latin America
(Elsevier Inc., 2023-03)
We examine whether high-return industries outperform low-return industries in Latin America. Differences in performance between recent winner and loser industries are very often indistinguishable from zero. Evaluating the ...
Firm profitability and expected stock returns : evidence from Latin America
(Elsevier Inc., 2020-01)
Despite their higher valuation ratios, larger size, and higher investment needs, profitable firms outperform, in both raw and risk-adjusted returns, unprofitable firms in Latin America. The positive effect of firm profitability ...