A Risk-Return Explanation of the Momentum-Reversal “Anomaly”

G. Geoffrey Booth; Hung-Gay Fung; Wai Kin Leung

doi:10.1016/j.jempfin.2015.10.007

A Risk-Return Explanation of the Momentum-Reversal “Anomaly”

G. Geoffrey Booth, Hung-Gay Fung, Wai Kin Leung

University of Missouri-St. Louis

Research output: Contribution to journal › Article › peer-review

Original language	American English
Journal	Journal of Empirical Finance
Volume	35
DOIs	https://doi.org/10.1016/j.jempfin.2015.10.007
State	Published - Jan 1 2016

Disciplines

Economics
Finance

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title = "A Risk-Return Explanation of the Momentum-Reversal “Anomaly”",

author = "Booth, {G. Geoffrey} and Hung-Gay Fung and Leung, {Wai Kin}",

note = "This study investigates the nature of the momentum-reversal phenomenon exhibited by U.S. stock returns from 1962 to 2013. We use cumulative future ret...",

year = "2016",

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doi = "10.1016/j.jempfin.2015.10.007",

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volume = "35",

journal = "Journal of Empirical Finance",

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AU - Booth, G. Geoffrey

AU - Fung, Hung-Gay

AU - Leung, Wai Kin

N1 - This study investigates the nature of the momentum-reversal phenomenon exhibited by U.S. stock returns from 1962 to 2013. We use cumulative future ret...

PY - 2016/1/1

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UR - https://www.sciencedirect.com/science/article/abs/pii/S092753981500105X

U2 - 10.1016/j.jempfin.2015.10.007

DO - 10.1016/j.jempfin.2015.10.007

M3 - Article

VL - 35

JO - Journal of Empirical Finance

JF - Journal of Empirical Finance

ER -

A Risk-Return Explanation of the Momentum-Reversal “Anomaly”

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