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...
Saved in:
| Main Authors: | , , , |
|---|---|
| 格式: | text |
| 語言: | English |
| 出版: |
Institutional Knowledge at Singapore Management University
2019
|
| 主題: | |
| 在線閱讀: | 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 |
| 標簽: |
添加標簽
沒有標簽, 成為第一個標記此記錄!
|