Question: Adding the momentum factor to asset pricing models adds significant explanatory power in explaining the cross-section of returns. The reason this factor is included in

Adding the momentum factor to asset pricing models adds significant explanatory

Adding the momentum factor to asset pricing models adds significant explanatory power in explaining the cross-section of returns. The reason this factor is included in recent asset pricing tests is because it is commonly accepted that the momentum premium is explained by exposure to the market factor. Select one: O True O False

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