Strong and Weak Momentum Components: evidence from international market indices

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Bornholt, Graham
Malin, Mirela
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2014
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Abstract

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.

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JASSA Financial Services Institute of Australasia

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2

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© 2014 JASSA and the Author[s]. The attached file is reproduced here in accordance with the copyright policy of the publisher. Please refer to the journal's website for access to the definitive, published version.

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Banking, finance and investment

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