| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP15857 |
| DP15857 Short-term Momentum | |
| Maik Schmeling; Mamdouh Medhat | |
| 发表日期 | 2021-02-28 |
| 出版年 | 2021 |
| 语种 | 英语 |
| 摘要 | We document a striking pattern in U.S. and international stock returns: Double sorting on last month's return and share turnover reveals significant short-term reversal among low-turnover stocks whereas high-turnover stocks exhibit short-term momentum. Short-term momentum is as profitable and as persistent as conventional price momentum. It also survives transaction costs and is strongest among the largest, most liquid, and most extensively covered stocks. Our results are difficult to reconcile with models imposing strict rationality but are suggestive of an explanation based on some traders underappreciating the information in prices. |
| 主题 | Financial Economics ; International Macroeconomics and Finance |
| 关键词 | Momentum Reversal Trading volume Bounded rationality |
| URL | https://cepr.org/publications/dp15857 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/544850 |
| 推荐引用方式 GB/T 7714 | Maik Schmeling,Mamdouh Medhat. DP15857 Short-term Momentum. 2021. |
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