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Momentum in weekly returns: the role of intermediate‐horizon past performance
Author(s) -
Chai Daniel,
Limkriangkrai Manapon,
Ji Philip Inyeob
Publication year - 2017
Publication title -
accounting and finance
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.645
H-Index - 49
eISSN - 1467-629X
pISSN - 0810-5391
DOI - 10.1111/acfi.12144
Subject(s) - momentum (technical analysis) , continuation , horizon , economics , investment (military) , financial economics , term (time) , econometrics , rate of return , monetary economics , finance , mathematics , physics , computer science , geometry , quantum mechanics , politics , political science , law , programming language
Abstract Gutierrez and Kelly (2008) recently documented momentum in weekly returns. Using the Australian market as a setting, we find that stocks with high 1‐week returns exhibit a continuation in returns up to 1 year after a brief initial return reversal. However, after controlling for the intermediate‐horizon past performance, the continuation in returns after 1‐week returns disappears. These findings suggest that different past investment horizons contain separate information about price momentum and that intermediate‐term trends dominate short‐term trends in driving future returns. Overall, we show that understanding momentum over different horizons facilitates the design of more profitable trading strategies.

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