The Long-Lasting Momentum in Weekly Returns
نویسندگان
چکیده
منابع مشابه
The Long-Lasting Momentum in Weekly Returns
Reversal is the current stylized fact of weekly returns. However, we find that an opposing and long-lasting continuation in returns follows the well-documented brief reversal. These subsequent momentum profits are strong enough to offset the initial reversal and to produce a significant momentum effect over the full year following portfolio formation. Thus, ex post, extreme weekly returns are n...
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ژورنال
عنوان ژورنال: The Journal of Finance
سال: 2008
ISSN: 0022-1082
DOI: 10.1111/j.1540-6261.2008.01320.x