is the momentum effect which denotes an ongoing movement of the prices of financial assets in a certain direction, for a … of this paper is to test the existence of excess returns from momentum strategies. To do the aforementioned, we test …

-to-market portfolios and do reasonably well in explaining the returns of 10 momentum portfolios. The lagging components do a poor job at … explaining the returns of 25 size and book-to-market portfolios but explain the return of momentum portfolios very well. A three …-factor model in jointly explaining the returns on 25 size/book-to-market portfolios, 10 momentum portfolios and 30 industry …

the characteristics of the portfolio. The results show that neither momentum characteristics nor the valuation of stocks …

This paper explores the profitability of portfolio-based momentum strategies. The data consists of all NYSE, AMEX, and … strong evidence of a momentum effect where an investor takes a long position on the winner portfolio and a short position on …:07 to 1981:12 and 1982:01 to 2002:12 we found that the best momentum strategy was profitable during the first period and not …

a variable that account for momentum effect. These factors are used as benchmarks to investigate the investment style …

do not follow random walk in any of the 15 Finnish cities included in the analysis. Instead, momentum in housing price … movements. The results also show that the momentum and reversion patterns may substantially vary between regional housing …

concentrate on examining the momentum dynamics and the reversion speed towards fundamental price level. The analysis can be seen … the strength of the momentum effect, though. The results also provide evidence of cointegration between regional housing …