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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| Main Authors: | , , , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2019
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| Subjects: | |
| 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 |