Momentum and reversal: The role of short selling

• المؤلفون الرئيسيون: ZHU, Zhaobo, DUAN, Xinrui, SUN, Licheng, Tu, Jun
• التنسيق: text
• اللغة: English
• منشور في: Institutional Knowledge at Singapore Management University 2019
• الموضوعات: Momentum; Reversal; Short selling; Short-sale constraints; Corporate Finance; Finance and Financial Management; Portfolio and Security Analysis
• الوصول للمادة أونلاين: 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

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...