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The Long‐Lasting Momentum in Weekly Returns

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  • ROBERTO C. GUTIERREZ
  • ERIC K. KELLEY

Abstract

Reversal is the current stylized fact of weekly returns. However, we find that an opposing and long‐lasting continuation in returns follows the well‐documented brief reversal. These subsequent momentum profits are strong enough to offset the initial reversal and to produce a significant momentum effect over the full year following portfolio formation. Thus, ex post, extreme weekly returns are not too extreme. Our findings extend to weekly price movements with and without public news. In addition, there is no relation between news uncertainty and the momentum in 1‐week returns.

Suggested Citation

  • Roberto C. Gutierrez & Eric K. Kelley, 2008. "The Long‐Lasting Momentum in Weekly Returns," Journal of Finance, American Finance Association, vol. 63(1), pages 415-447, February.
  • Handle: RePEc:bla:jfinan:v:63:y:2008:i:1:p:415-447
    DOI: 10.1111/j.1540-6261.2008.01320.x
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    File URL: https://doi.org/10.1111/j.1540-6261.2008.01320.x
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