Momentum and reversal: The role of short selling
This paper investigates the relation between short selling and momentum. We document that a consistent momentum strategy that buys lightly shorted winners and sells heavily shorted losers exhibits strong short-term momentum and no long-term reversal. In contrast, an inconsistent momentum strategy th...
Main Authors: | , , , |
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Format: | Article |
Language: | English |
Published: |
Elsevier B.V.
2019
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Subjects: | |
Online Access: | View Fulltext in Publisher |