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https://ssrn.com/abstract=968176
 
 

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The Disappearance of Momentum


Soosung Hwang


Sungkyunkwan University - Department of Economics

Alexandre Rubesam


Itaú Unibanco

November 1, 2013

European Journal of Finance, Forthcoming

Abstract:     
We investigate the dynamics of the momentum premium in the US. The momentum premium is significantly positive only during certain periods, notably from the 1940s to the mid-1960s and from the mid-1970s to the late 1990s, and it has disappeared since the late 1990s. Our results further suggest that momentum profits have slowly disappeared since the early 1990s, in a process which was delayed by the occurrence of the high-tech and telecom stock bubble of the late 1990s. In particular, we estimate that the bubble accounted for at least 50% of momentum profits during the period from 1994 to 2000.

Number of Pages in PDF File: 39

Keywords: Momentum premium, Arbitrage, High-tech and Telecom Bubble

JEL Classification: G12


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Date posted: March 5, 2007 ; Last revised: October 24, 2014

Suggested Citation

Hwang, Soosung and Rubesam, Alexandre, The Disappearance of Momentum (November 1, 2013). European Journal of Finance, Forthcoming. Available at SSRN: https://ssrn.com/abstract=968176 or http://dx.doi.org/10.2139/ssrn.968176

Contact Information

Soosung Hwang
Sungkyunkwan University - Department of Economics ( email )
25-2 Sungkyunkwan-ro
Jongno-Gu
110-745 Seoul
+82 (0)2 760 0489 (Phone)
+82 (0)2 744 5717 (Fax)
Alexandre Rubesam (Contact Author)
Itaú Unibanco ( email )
Av. Engenheiro Armando de Arruda Pereira, 707
Torre Eudoro Villela, Piso -2
São Paulo, SP 04309-010
Brazil
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