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Momentum in Japan works well: Asness

March 16, 2011 | 4.05pm

By studying value and momentum in Japan as a system, because they are strongly negatively correlated, this paper by AQR’s Cliff Asness argues that despite popular belief, momentum “works quite well” in Japan.

Click here to access the paper:

http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1776123

AQR, Cliff Asness, momentum works in Japan

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