Hon, Mark T.; Tonks, Ian - London School of Economics (LSE) - 2002
stock market examined to date, this paper identifies profitable momentum trading strategies as investment tools over the …-risk. Also, although we find some evidence of a size effect in the UK stock market, this phenomenon cannot explain the momentum …, Strong and Xu (1999). However, they are not present in the earlier 1955-76 period. The implication is that momentum is not a …