Separating momentum from reversal in international stock markets

Walkshäusl, Christian; Weißofner, Florian; Wessels, Ulrich

doi:10.1057/s41260-019-00109-5

J Asset Manag

2019

DOI: 10.1057/s41260-019-00109-5

|View full text |Cite

Separating momentum from reversal in international stock markets

Christian Walkshäusl

Florian Weißofner

Ulrich Wessels

Help me understand this report

View preprint versions

Search citation statements

Order By: Relevance

Paper Sections

Select...

Citation Types

Supporting

Mentioning

Contrasting

Year Published

2019

2024

Publication Types

Select...

Article3

Relationship

Self Cite0

Independent3

Authors

Journals

Cited by 3 publications

References 36 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

On the linkage of momentum and reversal – evidence from the G7 stock markets

Hofmann,

Keiber,

Luczak

2024

J Econ Finan

View full text Add to dashboard Cite

This paper studies the linkage of momentum and reversal in the G7 stock markets. We confirm Conrad and Yavuz’s (Rev Financ 21(2):555–581, 2017) finding that momentum is not linked to subsequent return reversal in the US stock market. In the stock markets of the remaining G7 countries, our results object the decoupling of momentum and return reversal. In these stock markets, the two return anomalies are linked to each other. In particular, momentum is followed by return reversal in the stock markets of Germany, the UK, Japan, Canada, France, and Italy. These observations obtain for momentum portfolios which are made up of different risk profiles with respect to size and book-to-market ratio. Our results hold true both in raw returns and in risk-adjusted returns.

show abstract

On the linkage of momentum and reversal – evidence from the G7 stock markets

Hofmann,

Keiber,

Luczak

2024

J Econ Finan

View full text Add to dashboard Cite

show abstract

Short-term momentum (almost) everywhere

Zaremba

Long

Karathanasopoulos

2019

Journal of International Financial Markets, Institutions and Mo

View full text Add to dashboard Cite

Do momentum and reversal matter in the Singapore stock market?

Ali

2020

Asia-Pacific Journal of Accounting & Economics

View full text Add to dashboard Cite

This paper shows the presence of positive momentum return in the short run but no subsequent price reversal in the Singapore Market. Rather price momentum continues in the long run. It also demonstrates that momentum profit is higher for the small and highly volatile firms rather than the large stable firms. Both portfolio level and firm-level cross-sectional analyses are used to show the relationships.

show abstract

scite is a Brooklyn-based organization that helps researchers better discover and understand research articles through Smart Citations–citations that display the context of the citation and describe whether the article provides supporting or contrasting evidence. scite is used by students and researchers from around the world and is funded in part by the National Science Foundation and the National Institute on Drug Abuse of the National Institutes of Health.

Contact Info

hi@scite.ai

10624 S. Eastern Ave., Ste. A-614

Henderson, NV 89052, USA

Blog Terms and Conditions API Terms Privacy Policy Contact Cookie Preferences Do Not Sell or Share My Personal Information

Made with 💙 for researchers

Part of the Research Solutions Family.

Separating momentum from reversal in international stock markets

Cited by 3 publications

References 36 publications

On the linkage of momentum and reversal – evidence from the G7 stock markets

On the linkage of momentum and reversal – evidence from the G7 stock markets

Short-term momentum (almost) everywhere

Do momentum and reversal matter in the Singapore stock market?

Contact Info

Product

Resources

About