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Delisted firms and momentum profits

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  • Eisdorfer, Assaf
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    Abstract

    I find that approximately 40 percent of the momentum profit is generated by delisting returns. Most of the delisting-profit is derived from bankrupt firms, while merged firms have a minor effect on the momentum profitability. I further show that ex-ante, firms with high likelihood to go bankrupt exhibit stronger momentum, and firms with high likelihood to be merged exhibit weaker momentum; and that almost the entire profits of these bankruptcy- and merger-candidates strategies are generated by delisting returns. These findings have implications on the size and the implementability of momentum.

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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of Financial Markets.

    Volume (Year): 11 (2008)
    Issue (Month): 2 (May)
    Pages: 160-179

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    Handle: RePEc:eee:finmar:v:11:y:2008:i:2:p:160-179

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    Web page: http://www.elsevier.com/locate/finmar

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    Cited by:
    1. Lukas Menkhoff & Lucio Sarno & Maik Schmeling & Andreas Schrimpf, 2012. "Currency Momentum Strategies," Working Paper Series 09_12, The Rimini Centre for Economic Analysis.
    2. Bhootra, Ajay, 2011. "Are momentum profits driven by the cross-sectional dispersion in expected stock returns?," Journal of Financial Markets, Elsevier, vol. 14(3), pages 494-513, August.

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