Sources of momentum profits: evidence on the irrelevance of characteristics

DOI10.1093/ROF/RFR036MaRDI QIDQ4963402zbMATH OpenOpenAlexFDO

Authors Pavel Bandarchuk, Jens Hilscher

Publication date 2 November 2018

Published in Review of Finance (Search for Journal in Brave)

Full work available at URL http://www.brandeis.edu/economics/RePEc/brd/doc/Brandeis_WP38.pdf

zbMATH Keywords

extreme past returnsmomentum profitsstock-level characteristics

Mathematics Subject Classification ID

Actuarial science and mathematical finance (91G99)

Recommendations

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Cited in

(7)

• A prospect-theoretical interpretation of momentum returns
• Momentum and reversal: the role of short selling
• Monotonic effects of characteristics on returns
• Momentum and the cross-section of stock volatility
• Does Revenue Momentum Drive or Ride Earnings or Price Momentum?
• The momentum effect: omitted risk factors or investor behaviour? Evidence from the Spanish stock market
• Broad-market return persistence and momentum profits

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