Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/315691 
Year of Publication: 
2024
Citation: 
[Journal:] Journal of Economics and Finance [ISSN:] 1938-9744 [Volume:] 48 [Issue:] 3 [Publisher:] Springer US [Place:] New York [Year:] 2024 [Pages:] 798-833
Publisher: 
Springer US, New York
Abstract: 
Abstract This paper studies the linkage of momentum and reversal in the G7 stock markets. We confirm Conrad and Yavuz’s (Rev Financ 21(2):555–581, 2017 ) finding that momentum is not linked to subsequent return reversal in the US stock market. In the stock markets of the remaining G7 countries, our results object the decoupling of momentum and return reversal. In these stock markets, the two return anomalies are linked to each other. In particular, momentum is followed by return reversal in the stock markets of Germany, the UK, Japan, Canada, France, and Italy. These observations obtain for momentum portfolios which are made up of different risk profiles with respect to size and book-to-market ratio. Our results hold true both in raw returns and in risk-adjusted returns.
Subjects: 
Momentum
Return reversal
Linkage
International stock markets
Persistent Identifier of the first edition: 
Additional Information: 
G11;G15;G40
Creative Commons License: 
cc-by Logo
Document Type: 
Article
Document Version: 
Published Version
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