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 eff...
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| Veröffentlicht in: | The Journal of finance (New York) 2008-02, Vol.63 (1), p.415-447 |
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| container_end_page | 447 |
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| container_title | The Journal of finance (New York) |
| container_volume | 63 |
| creator | GUTIERREZ JR, ROBERTO C. KELLEY, ERIC K. |
| description | 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 not too extreme. Our findings extend to weekly price movements with and without public news. In addition, there is no relation between news uncertainty and the momentum in 1-week returns. |
| doi_str_mv | 10.1111/j.1540-6261.2008.01320.x |
| format | Article |
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| identifier | ISSN: 0022-1082 |
| ispartof | The Journal of finance (New York), 2008-02, Vol.63 (1), p.415-447 |
| issn | 0022-1082 1540-6261 |
| language | eng |
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| source | Jstor Complete Legacy; Wiley Online Library Journals Frontfile Complete |
| subjects | Analytical forecasting Autocorrelation Financial economics Financial information Financial portfolios Financial research Heteroskedasticity Investors Portfolio performance Price momentum Rates of return Seasonal fluctuations Stock exchanges Stock prices Stock returns Studies Time series Uncertainty |
| title | The Long-Lasting Momentum in Weekly Returns |
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