IDEAS home Printed from https://ideas.repec.org/p/arx/papers/2304.03437.html
   My bibliography  Save this paper

Echo disappears: momentum term structure and cyclic information in turnover

Author

Listed:
  • Haoyu Wang
  • Junpeng Di
  • Yuegu Xie

Abstract

We extract cyclic information in turnover and find it can explain the momentum echo. The reversal in recent month momentum is the key factor that cancels out the recent month momentum and excluding it makes the echo regress to a damped shape. Both rational and behavioral theories can explain the reversal. This study is the first explanation of the momentum echo in U.S. stock markets.

Suggested Citation

  • Haoyu Wang & Junpeng Di & Yuegu Xie, 2023. "Echo disappears: momentum term structure and cyclic information in turnover," Papers 2304.03437, arXiv.org.
    • Handle: RePEc:arx:papers:2304.03437
    as

    Download full text from publisher

    File URL: http://arxiv.org/pdf/2304.03437
    File Function: Latest version
    Download Restriction: no
    ---><---

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:arx:papers:2304.03437. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: arXiv administrators (email available below). General contact details of provider: http://arxiv.org/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.