Blitz, D.C.

return momentum stock strategy market portfolio return momentum asset month period factor result performance volatility effect index value table asset classes ratio class allocation momentum strategies sample equity prof.dr model decile dividend promotor benchmark exposure journal example sharpe momentum strategy expense panel point approach investor level asset allocation management dividend taxes finance analysis asset class decile portfolios regression volatility effect study expense ratios investment basis percent business sample period difference cycle sharpe ratios stock returns research valuation chapter sharpe ratio return momentum strategy exhibit europe japan recession european paper period january 1930 business cycle phase blitz risk stocks return momentum strategies december 2009.