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Mohammad Q. M. Momani
 
''Revisiting the momentum factor in the U.K. stock market''
( 2018, Vol. 38 No.1 )
 
 
The objective of this study is to examine the Carhart (1997) four-factor asset pricing model to revisit whether the momentum factor is indeed priced in the U.K. equity market, over the period from October 1980 through June 2016. The study applies the state-of-the-art two-pass cross-sectional regression methodology of Lewellen et al. (2010). I find the momentum factor is not priced. The result is robust using a shorter sample that excludes the recent financial crisis data.
 
 
Keywords: Momentum, Cross-Sectional, Asset Pricing, U.K.
JEL: G1 - (G11, G13, G13) Portfolios, Investments, Asset and Futures Pricing, Trading Volume & Bond Interest Rates
 
Manuscript Received : Feb 05 2018 Manuscript Accepted : Mar 23 2018

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