Purpose – The purpose of this paper is to re-examine the sources of momentum profits by focusing on momentum in monthly returns. Design/methodology/approach – The paper utilizes a decomposition method proposed by Du and Watkins. Findings – Different from previous studies, it is found that...

Purpose – The purpose of this paper is to re-examine the sources of momentum profits by focusing on momentum in monthly returns. Design/methodology/approach – The paper utilizes a decomposition method proposed by Du and Watkins. Findings – Different from previous studies, it is found that...

Purpose – The purpose of this paper is to re‐examine the sources of momentum profits by focusing on momentum in monthly returns. Design/methodology/approach – The paper utilizes a decomposition method proposed by Du and Watkins. Findings – Different from previous studies, it is found...