Chitsiripanich, Soros; Paolella, Marc S.; Polak, Pawel; … - 2022
We construct a momentum factor that identifies cross-sectional winners and losers based on a weighting scheme that … in the data, and has an economic interpretation of coherently combining reversal and momentum patterns in the returns …. Our extensive out-of-sample analysis shows that the new fractional momentum strategy not only achieves significantly …