Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/337231 
Year of Publication: 
2021
Citation: 
[Journal:] Journal of Derivatives and Quantitative Studies: Seonmul yeon'gu (JDQS) [ISSN:] 2713-6647 [Volume:] 29 [Issue:] 3 [Year:] 2021 [Pages:] 174-189
Publisher: 
Emerald, Leeds
Abstract: 
The authors investigate the effect of a short-term stock return reversal on the term structure of momentum profits in the Korean stock market following Goyal and Wahal (2015). Their empirical findings show that the term structure of momentum is more pronounced when a return reversal lasts up to two months but is substantially weakened when past performance over the last two months is not taken into account for portfolio formation. Their evidence suggests that the term structure of momentum profitability arises primarily from a carryover of the return reversal from the previous two months.
Subjects: 
Momentum profit
Short-term return reversals
Echo effect
JEL: 
G11
G12
G15
Persistent Identifier of the first edition: 
Creative Commons License: 
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Document Type: 
Article

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