Abstract
Contrary to Lehmann (1990) and Jegadeesh (1990), Gutierrez and Kelley (2008) recently find a long-lasting momentum in weekly individual stock returns. We extend Gutierrez and Kelley (2008) and examine momentum in weekly industry portfolio returns. We find that where momentum in six-month returns is mainly explained by cross-serial correlations as in Lewellen (2002), momentum in weekly returns is largely due to serial correlations, and that momentum does not always exhibit reversals in the long run. Our findings present a challenge to the popular behavioral models.
Original language | English (US) |
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Pages (from-to) | 50-63 |
Number of pages | 14 |
Journal | International Research Journal of Finance and Economics |
Volume | 33 |
State | Published - Nov 2009 |
Keywords
- Industry Portfolio Returns
- Reversals
- Weekly Momentum
ASJC Scopus subject areas
- Finance
- Economics and Econometrics