This paper investigates the issue of whether major developments in U.S. stock markets around the turn of the millennium reduced arbitrage costs and consequently the profitability of momentum, long-term reversal, and short-term reversal strategies. Evidence for the years 1990-2013 is generally consistent with these predictions, though effects of the financial crisis of 2008-09 are also evident.
Keywords: Arbitrage costs, Momentum, Reversal, Millennium
JEL Classification: G2, G12
자료실
자료실
[2014년 제 4차] Did the Profitability of Momentum and Reversal Stra
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2014-12-12