We investigate the emergence of momentum and reversal anomalies in a general equilibrium model with complete markets … we consider. Overall, the model is generically able to reproduce the empirical evidence of momentum profits that …

We investigate the emergence of momentum and reversal anomalies in a general equilibrium model with complete markets … we consider. Overall, the model is generically able to reproduce the empirical evidence of momentum profits that …

This paper investigates whether short-term momentum and long-term reversal may emerge from the wealth reallocation … too, thus generating short-term momentum in equilibrium returns. We use the model to replicate the performance of the …. Finally, we show that dividend positive autocorrelation is positively related to momentum and negatively related to reversal …