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Momentum and reversals in international stock markets
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| 1.35 MB | Adobe PDF |
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This study seeks to examine the coexistence of intermediate-term momentum and long-term reversal in international stock markets. By adopting the most promising theories that supposedly isolate these two effects of momentum and reversal, this paper shows that some theories display results capturing stock returns in great magnitude. However, the well-established Jegadeesh and Titman momentum portfolio still prevails in exhibiting intermediate-term momentum followed by a subsequent long-term reversal.
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Momentum Reversals International stock markets Equities