strong momentum while their corresponding A shares do not. In contrast, A shares exhibit significant short-term reversals … while their B share counterparts do not. Furthermore, we document that institutional ownership strengthens momentum in B … generate momentum and the trades of uninformed noise traders generate reversals …

This paper sheds empirical light on whether sentiment affects the profitability of price momentum strategies. We … winners under pessimism. While the latter phenomenon can be corrected by arbitrage buying, short-selling constraints impede … arbitraging of losers under optimism, causing momentum to be stronger in optimistic periods. Our empirical analysis supports this …