Hong, Harrison; Lim, Terence; Stein, Jeremy C. - In: Journal of Finance 55 (2000) 1, pp. 265-295
Various theories have been proposed to explain momentum in stock returns. We test the gradual-information-diffusion model of Hong and Stein (1999) and establish three key results. First, once one moves past the very smallest stocks, the profitability of momentum strategies declines sharply with...