Abstract
Gutierrez and Kelly (2008) recently documented momentum in weekly returns. Using the Australian market as a setting, we find that stocks with high 1-week returns exhibit a continuation in returns up to 1 year after a brief initial return reversal. However, after controlling for the intermediate-horizon past performance, the continuation in returns after 1-week returns disappears. These findings suggest that different past investment horizons contain separate information about price momentum and that intermediate-term trends dominate short-term trends in driving future returns. Overall, we show that understanding momentum over different horizons facilitates the design of more profitable trading strategies.
Original language | English |
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Pages (from-to) | 45-68 |
Number of pages | 24 |
Journal | Accounting and Finance |
Volume | 57 |
DOIs | |
State | Published - 1 Apr 2017 |
Keywords
- Momentum
- Past returns
- Return reversals
- Weekly formation