Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/239116 
Year of Publication: 
2020
Citation: 
[Journal:] Journal of Risk and Financial Management [ISSN:] 1911-8074 [Volume:] 13 [Issue:] 2 [Publisher:] MDPI [Place:] Basel [Year:] 2020 [Pages:] 1-19
Publisher: 
MDPI, Basel
Abstract: 
In Kwon and Satchell (2018), a theoretical framework was introduced to investigate the distributional properties of the cross-sectional momentum returns under the assumption that the vector of asset returns over the ranking and holding periods were multivariate normal. In this paper, the framework is extended to derive the corresponding results when the asset returns are multivariate Student's t. In particular, we derive the probability density function and the moments of the cross-sectional momentum returns and examine in detail the special case of two underlying assets to demonstrate that many of the salient features reported in the empirical literature are consistent with the theoretical implications.
Subjects: 
cross sectional momentum
investment strategy
student's t distribution
Persistent Identifier of the first edition: 
Creative Commons License: 
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Document Type: 
Article

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