interaction of momentum with market capitalization, firm age, trading volume, and stock return volatility. However, the model … investment model succeeds in capturing average momentum profits, reversal of momentum in long horizons, as well as the … fails to reproduce procyclical momentum profits …

expected returns that those that have experienced large declines and capital losses. The profitability of a momentum strategy … profitability of a momentum strategy. When this capital gains variable is used as a regressor along with past returns and volume to … predict future returns, the momentum effect disappears …

momentum. Market risk, size and book-to- market effects do not explain the drifts. Security analysts' earnings forecasts also …

Despite their strong positive average returns across numerous asset classes, momentum strategies can experience … infrequent and persistent strings of negative returns. These momentum crashes are partly forecastable. They occur in "panic … option-like payoffs of past losers. An implementable dynamic momentum strategy based on forecasts of momentum's mean and …

) procedure can be decomposed into additional components that include impatient "informed trading" and "liquidity provision … to benefit from trading in stocks affected by information events, we find that funds trading such stocks exhibit superior … performance that is more likely to persist. Further, such superior performance comes mostly from impatient informed trading. We …

stock and into other forms of equity. Overall, for company stock decisions, participants in our sample appear to be momentum … investors when making contribution decisions and contrarian investors when making trading decisions …

scrutiny. We take up this task, and analyze the trading behavior of investors with prospect theory preferences. We find that … been documented in settings such as the housing market, futures trading, and executive stock options …