Momentum and Reversal: Does What Goes Up Always Come Down?

Jennifer Conrad and M. Deniz Yavuzm

Review of Finance, 2017, vol. 21, issue 2, 555-581

Abstract: The stocks in a momentum portfolio, which contribute to momentum profits, do not experience significant subsequent reversals. Conversely, stocks that do not contribute to momentum profits over the intermediate horizon exhibit subsequent reversals. Merging these separate securities into a single portfolio causes momentum and reversal patterns to appear linked. Stocks with momentum can be separated from those that exhibit reversal by sorting on size and book-to-market equity ratio. Controlling for proxies for behavioral biases, market illiquidity, and macroeconomic factors does not affect our results.

JEL-codes: D03 G10 G11 G12 G14 (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (21)

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