Quantitative Momentum by Gray Wesley R. Vogel Jack R. & Jack R. Vogel

Author:Gray, Wesley R.,Vogel, Jack R. & Jack R. Vogel
Language: eng
Format: epub
ISBN: 9781119237259
Publisher: John Wiley & Sons, Inc.
Published: 2016-10-03T00:00:00+00:00

Figure 5.2 Long-Term Momentum Portfolio Returns

The literature and our updated results highlight that long-term momentum, similar to short-term momentum, leads to return reversals in the future. Why long-term reversal occurs is puzzling, and academic researchers argue whether the cause is due to behavioral bias, additional risk, or market frictions (e.g., capital gain taxes).7 Next, we examine intermediate-term momentum, which is the form of momentum that trends in the future and isn't reversed.

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