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Persistent link: https://ebvufind01.dmz1.zbw.eu/10012545703
Motivated by behavioral theories, we test whether recent past performance of the momentum strategy (Past Momentum Performance--PMP) negatively predicts the performance of stale momentum portfolios. Following periods of top-quintile PMP, momentum portfolios exhibit strong reversals 2-5 years...
Persistent link: https://ebvufind01.dmz1.zbw.eu/10012958117