The Long-Lasting Momentum in Weekly Returns
By Roberto C. Gutierrez, Eric K. Kelley. 2008
210 citations recorded by the source corpus.
Reversal is the current stylized fact of weekly returns. However, we find that an opposing and long-lasting continuation in returns follows the well-documented brief reversal. These subsequent momentum profits are strong enough to offset the initial reversal and to produce a significant momentum effect over the full year following portfolio formation. Thus, ex post, extreme weekly returns are not too extreme. Our findings extend to weekly price movements with and without public news. In addition, there is no relation between news uncertainty and the momentum in 1-week returns. Copyright 2008 by The American Finance Association.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/644fd8f370bfa4082949e0a53b84be965a45fa0e
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- P. Kelly
- John M. Griffin
- Paul C. Tetlock
- Eric K. Kelley
- Federico Nardari
- Aurelio Vasquez
- Peter F. Christoffersen
- Kris Jacobs
In Finance
- P. Kelly
- John M. Griffin
- Eric K. Kelley
- Paul C. Tetlock
- Federico Nardari
- Peter F. Christoffersen
- Aurelio Vasquez
- Kris Jacobs
Citations in the corpus
- Do Market Efficiency Measures Yield Correct Inferences? A Comparison of Developed and Emerging Markets (2010, background): “…shows the “long-lasting momentum” return from a one-week formation and 52-week 3242 at U niversity of T exas at A ustin on S eptem ber 8, 2011 rfs.oxfordjournals.org D ow nloaded from Do Market Efficiency Measures Yield Correct Inferences? holding period documented in Gutierrez and Kelley (2007).”
- Currency Momentum Strategies (2012, unknown): “Subsequent studies extend the original research into new domains, including many countries worldwide beyond the U.S. (e.g. Rouwenhorst, 1998, 1999; Chan, Hameed, and Tong, 2000; Chui, Titman, and Wei, 2010) and higher frequencies (Gutierrez Jr. and Kelley, 2008).”
- Are Retail Traders Compensated for Providing Liquidity (2016, unknown): “This finding is comparable to the results presented in Linnainmaa (2010) on Finnish retail investor data and is also consistent with the patterns shown by Gutierrez and Kelley (2008) on US data.”
- Does Realized Skewness Predict the Cross-Section of Equity Returns? (2015, background): “Return reversal is clearly an important determinant of the cross-section of returns: The coe¢ cient on lagged return is negative and statistically signi cant, as expected (Jegadeesh (1990), Gutierrez and Kelley (2008)).”
- Limited attention and the earnings announcement returns of past stock market winners (2010, unknown): “See also Jegadeesh (1990) and Gutierrez and Kelley (2008) for an analysis of short-term price reversals.”
- Does Public Financial News Resolve Asymmetric Information (2010, background): “Neither Chan (2003) nor Gutierrez and Kelley (2008) explores this link between trading activity and returns on news days.”
- How Wise Are Crowds? Insights from Retail Orders and Stock Returns (2013, background): “Controlling for returns at each of these horizons is important, as shown in Gutierrez and Kelley (2008).”
- IQ, Trading Behavior, and Performance (2012, unknown): “Lehmann (1990), Jegadeesh (1990), Gutierrez and Kelley (2008), and, using Finnish data, Linnainmaa (2010) document that trading against recent extreme price movements earns abnormal profits for short holding periods.7 Kaniel, Saar, and Titman (2008) find that individuals who engage in such…”