Robustness of Pure Stock Momentum and Reversal
April 5, 2017 - Momentum Investing
Do momentum and reversal stock anomalies stripped of market, size and book-to-market risks (residual anomalies) outperform their conventional forms? In their March 2017 paper entitled “Residual Momentum and Reversal Strategies Revisited”, Joop Huij and Simon Lansdorp compare performances of residual and conventional momentum (using returns from 12 months ago to one month ago) and reversal (using last-month… Keep Reading