Bottazzi, Giulio; Dindo, Pietro; Giachini, Daniele - 2018
This paper investigates whether short-term momentum and long-term reversal may emerge from the wealth reallocation …-term reversal. If, moreover, asset dividends are positively correlated, investors' profitable trades become positively correlated …. Finally, we show that dividend positive autocorrelation is positively related to momentum and negatively related to reversal …