I find that approximately 40 percent of the momentum profit is generated by delisting returns. Most of the delisting-profit is derived from bankrupt firms, while merged firms have a minor effect on the momentum profitability. I further show that ex-ante, firms with high likelihood to go bankrupt exhibit stronger momentum, and firms with high likelihood to be merged exhibit weaker momentum; and that almost the entire profits of these bankruptcy- and merger-candidates strategies are generated by delisting returns. These findings have implications on the size and the implementability of momentum.
