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    • Another look at value and momentum : volatility spillovers 

      Grobys, Klaus; Vähämaa, Sami (Springer, 08.04.2020)
      article
      This paper examines volatility interdependencies between value and momentum returns. Using U.S. data over the period 1926–2015, we document persistent periods of low and high volatility spillovers between value and momentum ...