anomalies documented in the prior literature, such as size, book-to-market, accruals, and price momentum, as well as two …

predictable equilibrium prices that will be interpreted as possessing momentum. Cross-sectional empirical tests are consistent … the profitability of a momentum strategy. Past returns have no predictability for the cross-section of returns once this …

We study gains to momentum trading from 1946 through 2002. Past papers assume a zero-investment strategy where short … momentum returns. Congress deregulated trade commissions on May 1, 1975. Commissions fell dramatically for large stocks but did … not materially change for small stocks. The commission change sets up a natural experiment to test if momentum fell after …