Currency Momentum Factor: Making Money Move

The currency momentum factor is a widely observed feature that many exchange rates trend on a multi-year basis. The momentum factor exists across asset classes, including equities and bonds, and it is a widespread phenomenon …

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Post Earnings Announcement Drift (PEAD)

Post Earnings Announcement Drift (PEAD) is the tendency of a stock’s abnormal returns to move towards the direction of an earnings surprise for nearly 60 days after the earnings announcement. PEAD is also known as …

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