Prior evidence concerning momentum in Australian equity returns has produced inconsistent results. This study examines … the interaction between momentum and firm size. Specifically, we report that momentum returns are significant only for … larger portfolios, and that this finding explains the inconsistent results of prior research. We demonstrate that momentum is …

suggested that known investing styles like momentum, purchasing power parity, and carry serve as benchmarks. Challenges for this …

term prospects and those only." The analysis explains accommodation and trend chasing strategies as well as momentum and …

We investigate the emergence of momentum and reversal anomalies in a general equilibrium model with complete markets … we consider. Overall, the model is generically able to reproduce the empirical evidence of momentum profits that …

with a long-short momentum portfolio. Within the same time period, a trading strategy using the sentiment scores from the … contemporaneous returns. The findings suggest that (i) the market underreacts to information contained in news articles, (ii) momentum …

The research topic of my thesis is the stock price momentum effect which states that stocks with high returns over the … that the profitability of momentum strategies is documented in many studies, for different samples and for different … periods. In the search for an explanation for the profitability of momentum strategies, the literature hasnot come to a …

In this paper, we follow Jegadeesh and Titman's (1993, Journal of Finance) approach to examine 25 momentum … momentum profitability in any of the 25 strategies. In contrast, there is some evidence of reversal effects where the past …-sectional variation of average stock returns in our momentum/contrarian strategies. There is no evidence of any seasonal pattern, and the …