Considerable evidence from a plethora of countries suggests that momentum strategies generate profits. These have been difficult to rationalize and evidence on the sources of such profitability is inconclusive.We use a sample of optioned stocks that are very liquid and large and have fewer short...

Following Cooper et al. 2004 we test whether market states are relevant for predicting UK momentum profits. However, rather than simply categorizing up/down markets based on actual prices as Cooper et al. 2004, we suggest investors may view expectations and/or sentiment as important. Contrary to...