in the data, and has an economic interpretation of coherently combining reversal and momentum patterns in the returns …We construct a momentum factor that identifies cross-sectional winners and losers based on a weighting scheme that …. Our extensive out-of-sample analysis shows that the new fractional momentum strategy not only achieves significantly …

This paper examines to what extent the momentum spread ratio (MSR) can predict momentum profits. The momentum spread … ratio as a potential proxy of investor underreaction can significantly predict the momentum, industry momentum, and residual … momentum, especially after 1994, suggesting that behavioral bias to the firm-specific news is indeed a source of momentum …