Reversal and momentum patterns in weekly stock returns: European evidence

Beitrag in einer Fachzeitschrift


Details zur Publikation

Autorinnen und Autoren: Hühn HL, Scholz H
Zeitschrift: Review of Financial Economics
Jahr der Veröffentlichung: 2019
Band: 37
Heftnummer: 2
Seitenbereich: 272-296
ISSN: 1058-3300
Sprache: Englisch


Abstract

We analyze short-term reversal and medium-term momentum patterns in
weekly stock returns in Europe. Focusing on raw and on stock-specific
returns, our empirical results show for both return specifications i) a
negative relation between weekly past returns and future returns in the
short run and ii) a positive relation in the medium run. However,
returns of reversal and momentum strategies based on stock-specific
returns are less volatile. In further analyses, we find short-term
reversal and medium-term momentum patterns to be connected to stock
characteristics. Looking at the potential causes of these effects, our
results do not corroborate that short-term reversal in weekly stock
returns is due to an over- or underreaction to firm-specific news nor
mainly driven by illiquidity. On the other hand, medium-term momentum in
weekly stock returns can be connected to behavioral biases. Finally,
our concluding tests confirm that our findings are robust among
industries, in sub-periods, for the January effect and in varying market
states.


FAU-Autorinnen und Autoren / FAU-Herausgeberinnen und Herausgeber

Hühn, Hannah Lea
Lehrstuhl für Betriebswirtschaftslehre, insbesondere Finanzierung und Banken
Scholz, Hendrik Prof. Dr.
Lehrstuhl für Betriebswirtschaftslehre, insbesondere Finanzierung und Banken


Zitierweisen

APA:
Hühn, H.L., & Scholz, H. (2019). Reversal and momentum patterns in weekly stock returns: European evidence. Review of Financial Economics, 37(2), 272-296.

MLA:
Hühn, Hannah Lea, and Hendrik Scholz. "Reversal and momentum patterns in weekly stock returns: European evidence." Review of Financial Economics 37.2 (2019): 272-296.

BibTeX: 

Zuletzt aktualisiert 2019-10-04 um 14:38