We find large variations in returns from momentum strategies. Momentum strategies did not earn significant returns during the period of 1993-2004 which was due

This paper studies the joint dynamics of momentum and reversal strategies in the U.S. stock market. Momentum investors face uncertainty about whether past patte

An ample amount of work has been done on trading strategies that can be traced back more than 100 years. Trading strategies attempt to generate abnormal returns

In this paper we test the profitability of momentum strategies in the United Kingdom, Germany, Japan, and China over the period 1991 to 2006 and sub-periods. Bo

In markets with trading friction, the incorporation of information into market prices can be substantially delayed through a weakening of the arbitrage process.