Momentum in weekly returns: the role of intermediate-horizon past performance

Daniel Chai, Manapon Limkriangkrai, Philip Inyeob Ji

Research output: Contribution to journalArticleResearchpeer-review

3 Citations (Scopus)

Abstract

Gutierrez and Kelly (2008) recently documented momentum in weekly returns. Using the Australian market as a setting, we find that stocks with high 1-week returns exhibit a continuation in returns up to 1 year after a brief initial return reversal. However, after controlling for the intermediate-horizon past performance, the continuation in returns after 1-week returns disappears. These findings suggest that different past investment horizons contain separate information about price momentum and that intermediate-term trends dominate short-term trends in driving future returns. Overall, we show that understanding momentum over different horizons facilitates the design of more profitable trading strategies.
Original languageEnglish
Pages (from-to)45-68
Number of pages24
JournalAccounting & Finance
Volume57
Issue numberS1
DOIs
Publication statusPublished - Apr 2017

Keywords

  • Momentum
  • Past returns
  • Return reversals
  • Weekly formation

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