Short-term momentum

Short-term momentum

We document a striking pattern in U.S. and international stock returns: double sorting on the previous month’s return and share turnover reveals significant short-term reversal among low-turnover stocks, whereas high-turnover stocks exhibit short-term momentum. Short-term momentum is as profitable a...

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Veröffentlicht in:The Review of financial studies 2022-03, Vol.35 (3), p.1480-1526
1. Verfasser: Medhat, Mamdouh
Format: Artikel
Sprache:eng
Schlagworte:
1963-2018
Börsenkurs
Handelsvolumen der Börse
Industrieländer
Rationale Erwartung
short term momentum
USA
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creator Medhat, Mamdouh
description We document a striking pattern in U.S. and international stock returns: double sorting on the previous month’s return and share turnover reveals significant short-term reversal among low-turnover stocks, whereas high-turnover stocks exhibit short-term momentum. Short-term momentum is as profitable and as persistent as conventional price momentum. It survives transaction costs and is strongest among the largest, most liquid, and most extensively covered stocks. Our results are difficult to reconcile with models imposing strict rationality but are suggestive of an explanation based on some traders underappreciating the information conveyed by prices.
doi_str_mv 10.1093/rfs/hhab055
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source EBSCOhost Business Source Complete; Oxford University Press Journals All Titles (1996-Current)
subjects 1963-2018
Börsenkurs
Handelsvolumen der Börse
Industrieländer
Rationale Erwartung
short term momentum
USA
title Short-term momentum
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