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A time-series and cross-sectional momentum strategy: Dual momentum applied from a South African perspective
Fama and French (2008, p.1654) referred to momentum as a “premier market anomaly”. The momentum effect has been nearly universally observed across all asset classes globally (Asness, et al., 2013). This research paper further explores momentum and replicates the dual momentum strategy proposed by An...
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| Format: | Thesis |
| Language: | English |
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Department of Finance and Tax
2023
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