The Long-Lasting Momentum in Weekly Returns  

Oleh:

Gutierrez, Roberto C. ; Kelley, Eric K.

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 63 no. 1 (Feb. 2008), page 415-447.
Topik: Long-Lasting Momentum; Weekly Returns; Profit
Fulltext: p 415.pdf (171.71KB)

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Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ88 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

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.

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