test the profitability of two alternative strategies, one based on the classical overreaction anomaly, the other on a so … data. In the majority of cases strategies based on overreaction anomalies are not profitable, and therefore the latter …

there is an "inertia anomaly", i.e. after an overreaction day prices tend to move in the same direction for some time. A …

there is an "inertia anomaly", i.e. after an overreaction day prices tend to move in the same direction for some time. A …

of states of returns and index. An application to Bitcoin prices at 1-min and 1-s intervals shows the validity and …

We report strong evidence that changes of momentum, i.e. "acceleration", defined as the first difference of successive … returns, provide better performance and higher explanatory power than momentum. The corresponding Γ-factor explains the … momentum-sorted portfolios entirely but not the reverse. Thus, momentum can be considered an imperfect proxy for acceleration …