Strong and Weak Momentum Components: evidence from international market indices
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This paper provides a simple technique to modify momentum strategies to yield larger profits. Past long-term returns are used to split the conventional momentum strategy into strong and weak components. Our analysis shows that the early-stage momentum strategy consistently produces larger profits than both the late-stage momentum strategy and the pure momentum strategy. Given the widespread interest in momentum strategies, the early-stage momentum approach should be of interest to both practitioners and researchers.
JASSA Financial Services Institute of Australasia
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