Gong, Qiang; Liu, Ming; Liu, Qianqiu - In: Journal of Banking & Finance 50 (2015) C, pp. 169-182
We demonstrate the estimation biases that arise when stock returns from 12month prior and 2month prior are included within intermediate and recent past momentum profits. These biases lead to an overestimation of intermediate past momentum but an underestimation of recent past momentum in the US...