Momentum is really short-term momentum

Qiang Gong, Ming Liu and Qianqiu Liu

Journal of Banking & Finance, 2015, vol. 50, issue C, 169-182

Abstract: We demonstrate the estimation biases that arise when stock returns from 12month prior and 2month prior are included within intermediate and recent past momentum profits. These biases lead to an overestimation of intermediate past momentum but an underestimation of recent past momentum in the US market. There is no significant difference between the predictability of stock performance in the intermediate past and the recent past once we exclude these two months from the construction of momentum strategies in the US and each of the 26 major international markets.

Keywords: Momentum; Reversal; Seasonality (search for similar items in EconPapers)
JEL-codes: G12 G15 (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (12)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jbfina:v:50:y:2015:i:c:p:169-182

DOI: 10.1016/j.jbankfin.2014.10.002

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