Sim, Myounghwa; Kim, Hee-Eun - In: Journal of derivatives and quantitative studies 29 (2021) 3, pp. 174-189
The authors investigate the effect of a short-term stock return reversal on the term structure of momentum profits in the Korean stock market following Goyal and Wahal (2015). Their empirical findings show that the term structure of momentum is more pronounced when a return reversal lasts up to...