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- W3149442868 abstract "This paper focuses on cross-sectional equity momentum patterns by modeling a stock’s price path as the interaction between a long-term growth component and a number of fluctuating price components that oscillate around the long-term trend at various distinct frequencies. Using this specification, the results are consistent with a behavioural overreaction-to-private-information and underreaction-to-public-information explanation of cross-sectional explantation of momentum patterns. Cross-sectional momentum profitability is found to be robust to realistic transaction costs and a 6-month holding period appears to be the optimal tradeoff investment horizon between the short-term and the longer-term effect of the transaction costs. Simple stop-loss rules are shown to improve the performance of strategies with long-term holding horizon by discarding big and growth stocks, which achieve higher levels of price efficiency and therefore realise their momentum potential faster than small and value stocks. JEL CLASSIFICATION CODES: D23, E3, G14." @default.
- W3149442868 created "2021-04-13" @default.
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- W3149442868 date "2011-01-01" @default.
- W3149442868 modified "2023-09-24" @default.
- W3149442868 title "Explaining Momentum Strategies using Intrinsic Price Fluctuations" @default.
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