The Long-Lasting Momentum in Weekly Returns

57 Pages Posted: 30 Oct 2006

See all articles by Roberto C. Gutierrez

Roberto C. Gutierrez

University of Oregon

Eric K. Kelley

University of Tennessee, Knoxville

Abstract

Reversal is the current stylized fact of weekly returns. However, the brief reversal that follows extreme weekly returns is itself followed by an opposing and long-lasting stream of continuation in returns. 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 one-week returns.

Keywords: weekly stock returns, momentum, reversal, news

Suggested Citation

Gutierrez, Roberto C. and Kelley, Eric K., The Long-Lasting Momentum in Weekly Returns. Journal of Finance, Forthcoming, Available at SSRN: https://ssrn.com/abstract=938474

Roberto C. Gutierrez (Contact Author)

University of Oregon ( email )

Lundquist College of Business
1208 University of Oregon
Eugene, OR 97403
United States
541-346-3254 (Phone)
541-346-3341 (Fax)

Eric K. Kelley

University of Tennessee, Knoxville ( email )

916 Volunteer Blvd
Knoxville, TN 37996
United States

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