Bottazzi, Giulio; Dindo, Pietro; Giachini, Daniele - 2018
This paper investigates whether short-term momentum and long-term reversal may emerge from the wealth reallocation … too, thus generating short-term momentum in equilibrium returns. We use the model to replicate the performance of the …. Finally, we show that dividend positive autocorrelation is positively related to momentum and negatively related to reversal …