This paper examines whether momentum drives the disposition effect and vice versa in the US stock market. The results … from the analysis of the Fama-Macbethregressions show that the disposition effect drives momentum but not the other way … impact on the momentum. Therefore, the relationship between momentum and disposition effect is examined based on size deciles …

We empirically test predictability on asset price using stock selection rules based on maximum drawdown and its … consecutive recovery. In various equity markets, monthly momentum- and weekly contrarian-style portfolios constructed from these … outperformance over other alternative momentum portfolios including traditional cumulative return-based momentum portfolios. In …