Ericsson, Johan (contributor); … - 2003 - [Elektronische Ressource]
This paper explores the profitability of portfolio-based momentum strategies. The data consists of all NYSE, AMEX, and … strong evidence of a momentum effect where an investor takes a long position on the winner portfolio and a short position on … the loser portfolio. Hence, we reject the hypothesis of weak market efficiency. Splitting the sample in two parts, 1963 …