University of North Carolina Kenan-Flagler Business School
Purdue University - Krannert School of Management
June 19, 2015
Abstract:
Stocks in a momentum portfolio, which contribute to
momentum profits, do not experience reversal in the long run.
Conversely, stocks that do not contribute to momentum profits exhibit
subsequent reversals. Merging these separate securities into a single
portfolio causes momentum and reversal patterns to appear linked.
Stocks with momentum can be separated from those that exhibit reversal
using stock characteristics. A portfolio that isolates momentum stocks
displays large and persistent risk adjusted returns, which do not vary
with behavioral proxies. Our results provide some direction for
potential explanations of momentum patterns in returns.
Number of Pages in PDF File: 49
Download at SSRN
