Echo Disappears : Momentum Term Structure and Cyclic Information in Turnover

We extract cyclic information in turnover and find it can explain the momentum “echo”. The reversal in recent month momentum is the key factor that cancels out the recent month momentum and excluding it makes the “echo” regress to a damped shape. Both rational and behavioral theories can explain the reversal. This study is the first explanation of the momentum “echo” in U.S. stock markets

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Year of publication:	[2023]
Authors:	Wang, Haoyu ; Di, Junpeng ; Xie, Yuegu
Publisher:	[S.l.] : SSRN
Subject:	Zinsstruktur \| Yield curve \| Schätzung \| Estimation \| Theorie \| Theory \| Konjunktur \| Business cycle

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Extent:	1 Online-Ressource (22 p)
Type of publication:	Book / Working Paper
Language:	English
Other identifiers:	10.2139/ssrn.4424556 [DOI]
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10014354825