conservatively. Surprisingly, survivor stocks tend to be loser stocks with negative exposure to the momentum factor. Further analyses …

Purpose - The present research aims to examine a range of momentum trading strategies for the tourism and hospitality … that none of these momentum investing strategies was profitable. Most of the results, however, show positive, but … insignificant momentum returns. This finding can be interpreted as price reversal over a horizon of three to twelve months in the US …

“anomalies” the theory of rational finance cannot explain: (i) Predictability of asset returns; (ii) The Equity Premium; (iii …In this paper we address three main objections of behavioral finance to the theory of rational finance, considered as … are the only possible explanations of the “anomalies”, but offer statistical models within the rational theory of finance …

In this paper we provide new evidence on the predictability of aggregate stock market returns, and new time series of …. Further analysis suggests that the level of predictability found cannot be attributed to data-mining bias …

existing pure earnings-forecast momentum strategies and remain profitable after transaction costs. We show that analysts …