bislang niedrig waren - eine Tatsache, die gemeinhin als ein Misserfolg von Momentum bezeichnet wird. …

We study the link between the profitability of momentum strategies and firm size, drawing on an extensive dataset … covering 14 stock markets across the globe. International momentum profitability is markedly higher in medium-size than in big … stocks. Momentum premia are considerably diminished by trading costs, when taking into account the actual portfolio turnover …

We test the hypothesis that low visibility shocks to text-based network industry peers can explain industry momentum … common SIC codes. Shocks to less visible peers generate economically large momentum profits, and are stronger than own …-firm momentum variables. More visible traditional SIC-based peers generate only small, short-lived momentum profits. Our findings …

coverage of policy-related issues, and momentum profits. Momentum remains an unexplained anomaly. Our findings reveal a … statistically negative association between EPU and hedge momentum portfolios. The short side portfolio dominates this effect as …