Introduction
Welcome to another post on reproducibility in finance literature!
Data
Most of the data used in the paper is sourced from Kenneth French Data Library.
Results
Table 1: Descriptive Statistics
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Table 2: AR(1) of one-month realized variances
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Table 3: Momentum and the economic gains from scaling
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Table 4: Decomposition of the risk of momentum
Table 6: Performance of plain momentum (WML) and scaled momentum (WML* ) in different subsamples
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Figure 1
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Figure 2
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Figure 3
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Figure 4
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Figure 5
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Figure 6
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