investors behaved more as in the momentum strategy; and after Black Monday more as in the contrarian strategy. We argue that …

Risk-adjusted momentum returns are usually estimated by sorting stocks into a regularly rebalanced long-short portfolio … (portfolio-level risk adjustment). This approach implicitly assumes constant factor exposure of the momentum portfolio. However …, momentum portfolios are characterized by high turnover and time-varying factor exposure. We propose to estimate the risk …

aggregate demand gains momentum. If inflation also has inertia, the central bank still overheats the economy during the low …

advantage in the final stage. We examine such momentum in conflict scenarios and investigate how valuable it must be to avoid a …-does impact the contestants' effort levels, it has no bearing on the endogenously determined value of momentum itself. Further …, rent dissipation in the two-stage conflict is equal across party whether or not an individual obtains first-stage momentum …

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 … more consistent prediction on the direction of assets in future. Moreover, turnover rates of these momentum …

conservatively. Surprisingly, survivor stocks tend to be loser stocks with negative exposure to the momentum factor. Further analyses …

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 …

from different communities. A cross-sectional portfolio that implements an inter-crypto momentum trading strategy earns a 1 …

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 …