Short-term Momentum

• 成果类型: Article
• 署名作者: Medhat, Mamdouh; Schmeling, Maik
• 署名单位: City St Georges, University of London; Goethe University Frankfurt; Centre for Economic Policy Research - UK
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhab055
• 发表日期: 2022
• 页码: 1480
• 关键词: cross-section; OVERCONFIDENT INVESTORS; trading volume; STOCK; returns; MARKET; price; RISK; anomalies; autocorrelation

摘要

We document a striking pattern in U.S. and international stock returns: double sorting on the previous month's return and share turnover reveals significant short-term reversal among low-turnover stocks, whereas high-turnover stocks exhibit short-term momentum. Short-term momentum is as profitable and as persistent as conventional price momentum. It survives transaction costs and is strongest among the largest, most liquid, and most extensively covered stocks. Our results are difficult to reconcile with models imposing strict rationality but are suggestive of an explanation based on some traders underappreciating the information conveyed by prices.