Purpose – The purpose of this paper is to re-examine the sources of momentum profits by focusing on momentum in monthly returns. Design/methodology/approach – The paper utilizes a decomposition method proposed by Du and Watkins. Findings – Different from previous studies, it is found that momentum may have multiple sources, and that risk or behavioral biases in isolation may not be sufficient to explain momentum. Practical implications – The paper's finding that momentum may be at least partly due to risk is important for investors to understand the risk of momentum investing. Originality/value – This paper focuses on the sources of momentum profits in monthly returns. The findings that momentum has multiple sources call for new explanations for momentum because all existing theories of momentum are either rational or behavioral. Furthermore, the finding that lead-lag relationship plays an important role in momentum suggests that researchers should focus on mis-reaction to common (market-wide) information to explain momentum as emphasized by Lo and MacKinlay. paper is an international attempt to measure brand equity thorough Tobin's q in Greece. Another attempt related to Simon and Sallivan's research had never been done, either in marketing or financial literature.
