A risk-return explanation of the momentum-reversal “anomaly”

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A risk-return explanation of the momentum-reversal “anomaly”

This study investigates the nature of the momentum-reversal phenomenon exhibited by U.S. stock returns from 1962 to 2013. We use cumulative future returns of long–short portfolios, which are formed using prior returns as benchmarks, after portfolio formation to analyze the well-documented momentum-r...

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Bibliographic Details
Main Authors:	Booth, G. Geoffrey, Fung, Hung-Gay, Leung, Wai Kin
Format:	Article
Published:	Elsevier 2016
Subjects:	Asset pricing; Stock returns; Momentum; Market capitalization
Online Access:	https://eprints.nottingham.ac.uk/47708/

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