Risk and Behavioral Factors Driving Momentum Profits
June 29, 2012 - Momentum Investing
What drives the momentum effect among individual U.S. stocks? In their June 2012 paper entitled “Momentum, Risk, and Underreaction”, Mark Rachwalski and Quan Wen investigate the sources of profits for momentum strategies applied to individual stocks. They measure momentum profitability as average monthly returns to three series of equal-weighted hedge portfolios that each month are long… Keep Reading