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Long-Lasting Momentum in Weekly Returns

By:

Gutierrez Roberto C

Material type: Article

ArticleLanguage: ENG Series: ; 63Publication details: Feb 2008 0Edition: 1Description: 415-447 PpSubject(s):

Weekly Returns, Weekly Price Momentum

DDC classification:

Online resources:

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Summary: 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.

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Item type	Current library	Call number	Status	Date due	Barcode
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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.

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