References (52)


Citations (10)



The Disappearance of Momentum

Soosung Hwang

Sungkyunkwan University - Department of Economics

Alexandre Rubesam

Itaú Unibanco

November 1, 2013

European Journal of Finance, Forthcoming

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

Open PDF in Browser Download This Paper

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
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
Feedback to SSRN

Paper statistics
Abstract Views: 4,164
Downloads: 1,151
Download Rank: 13,104
References:  52
Citations:  10