Momentum and reversal: The role of short selling

Momentum and reversal: The role of short selling

This paper investigates the relation between short selling and momentum. We document that a consistent momentum strategy that buys lightly shorted winners and sells heavily shorted losers exhibits strong short-term momentum and no long-term reversal. In contrast, an inconsistent momentum strategy th...

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Bibliographic Details
Main Authors: ZHU, Zhaobo, DUAN, Xinrui, SUN, Licheng, Tu, Jun
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2019
Subjects:
Momentum
Reversal
Short selling
Short-sale constraints
Corporate Finance
Finance and Financial Management
Portfolio and Security Analysis
Online Access:https://ink.library.smu.edu.sg/lkcsb_research/6667
https://ink.library.smu.edu.sg/context/lkcsb_research/article/7670/viewcontent/Momentum_Reversal_av.pdf
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Institution: Singapore Management University
Language: English

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https://ink.library.smu.edu.sg/lkcsb_research/6667
https://ink.library.smu.edu.sg/context/lkcsb_research/article/7670/viewcontent/Momentum_Reversal_av.pdf

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