The Distribution of Cross Sectional Momentum Returns When Underlying Asset Returns Are Student’s t Distributed

Oh Kang Kwon & Stephen Satchell
In Kwon and Satchell (2018), a theoretical framework was introduced to investigate thedistributional properties of the cross-sectional momentum returns under the assumption that thevector of asset returns over the ranking and holding periods were multivariate normal. In thispaper, the framework is extended to derive the corresponding results when the asset returns aremultivariate Student’s t. In particular, we derive the probability density function and the moments ofthe cross-sectional momentum returns and examine in detail the special...
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