Groot, W. de

market return stock strategy frontier portfolio frontier markets month momentum index value country trading result period table reversal effect sample panel factor trading costs estimate investment finance journal reversal profits transaction equity equity markets momentum strategies turnover transaction costs reversal strategy size effect risk factors nomura score correlation panel b t-value sample period model profit trading cost estimates stock returns 0.00 investor cap stocks point downside risk analysis asset investment strategies market capitalization table 2 ratio characteristic report reversal strategies 6.9 liquidity &p frontier bmi capitalization madhavan basis 6.7 7.2 trade / journal 0.01 region 12 months section number 7.1 0.02 momentum effects diversification benefits volume