Up and down together? On the linkage of momentum and reversal

Daniel Hofmann, Karl Ludwig Keiber and Adalbert Luczak

Global Finance Journal, 2022, vol. 54, issue C

Abstract: This paper presents evidence of momentum and reversal being related phenomena in the German stock market. This finding contrasts Conrad and Yavuz's (2017) results for the US stock market. In the German stock market, the linkage of both phenomena is documented to be more pronounced after the turn of the millennium. In particular, low-risk stocks produce momentum, and high-risk stocks generate return reversal in momentum portfolios. Short-run momentum is consistently generated by the long winner leg, whereas long-run return reversal is due to the short loser leg of long-short portfolios in the German stock market.

Keywords: Momentum; Return reversal; Linkage; German stock market (search for similar items in EconPapers)
JEL-codes: G11 G15 G40 (search for similar items in EconPapers)
Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:eee:glofin:v:54:y:2022:i:c:s1044028322000564

DOI: 10.1016/j.gfj.2022.100754

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