The long-lasting momentum in weekly returns

• 成果类型: Article
• 署名作者: Gutierrez, Roberto C., Jr.; Kelley, Eric K.
• 署名单位: University of Oregon; University of Arizona
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.2008.01320.x
• 发表日期: 2008
• 页码: 415-447
• 关键词: INDIVIDUAL SECURITY RETURNS; STOCK-MARKET OVERREACTION; Bid-ask spread; cross-section; INVESTOR PSYCHOLOGY; CONTRARIAN PROFITS; bad-news; price; EFFICIENCY; INFORMATION

摘要

Reversal is the current stylized fact of weekly returns. However, we find that an opposing and long-lasting continuation in returns follows the well-documented brief reversal. These subsequent momentum profits are strong enough to offset the initial reversal and to produce a significant momentum effect over the full year following portfolio formation. Thus, ex post, extreme weekly returns are not too extreme. Our findings extend to weekly price movements with and without public news. In addition, there is no relation between news uncertainty and the momentum in 1-week returns.