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- W2912265744 abstract "Abstract The literature has long debated the co-existence of intermediate-term momentum and long-term return reversals. Recent studies propose several theories to isolate momentum from reversals. This paper provides comprehensive analyses to examine whether intermediate-term momentum and long-term return reversals are really separate phenomena. We show that although these theories all capture a significant fraction of stock returns, the standard Jegadeesh–Titman momentum strategy still generates significant profits in the intermediate term, which are followed by long-term reversals after controlling for these alternative effects. Thus, the co-existence of intermediate-term momentum and long-term reversals remains a distinct phenomenon that is independent of recent theories." @default.
- W2912265744 created "2019-02-21" @default.
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- W2912265744 date "2020-01-01" @default.
- W2912265744 modified "2023-09-24" @default.
- W2912265744 title "Momentum and reversals: Are they really separate phenomena?" @default.
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- W2912265744 doi "https://doi.org/10.1016/j.frl.2019.02.002" @default.
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