The literature on equity markets documents the existence of mean reversion and momentum phenomena. Researchers in … foreign exchange markets find that foreign exchange rates also display behaviors akin to momentum and mean reversion. This … paper implements a trading strategy combining mean reversion and momentum in foreign exchange markets. The strategy was …

a continuous portfolio choice model, in which stock returns exhibit both momentum and mean reversion, DC plan members … candidate and we show how a DC plan investor can benefit from market opportunities by taking advantage of the momentum and mean …

The purpose of this paper is to expand the research on momentum strategies in the securities market. Specifically, it … examines the momentum anomaly in respect to the commodity futures market, and closely follows recent work as studied by Miffre … and Rallis (2007). This study identifies one statistically significant short term (1 to 12 months) momentum strategy …

contributes to post earnings announcement drift (PEAD) and price momentum. Indeed, when we double-sort by momentum portfolios and … retail trading flows, PEAD and momentum are only present in the top two quintiles of retail trading intensity. Finer sorts … substantial role of retail investors in generating momentum. Alternative hypotheses, such as the disposition effect and stale …

-to-market portfolios and do reasonably well in explaining the returns of 10 momentum portfolios. The lagging components do a poor job at … explaining the returns of 25 size and book-to-market portfolios but explain the return of momentum portfolios very well. A three …-factor model in jointly explaining the returns on 25 size/book-to-market portfolios, 10 momentum portfolios and 30 industry …

We investigate the emergence of momentum and reversal anomalies in a general equilibrium model with complete markets … we consider. Overall, the model is generically able to reproduce the empirical evidence of momentum profits that …