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Up and down together? On the linkage of momentum and reversal

Author

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  • Hofmann, Daniel
  • Keiber, Karl Ludwig
  • Luczak, Adalbert

Abstract

This paper presents evidence of momentum and reversal being related phenomena in the German stock market. This finding contrasts Conrad and Yavuz's (2017) results for the US stock market. In the German stock market, the linkage of both phenomena is documented to be more pronounced after the turn of the millennium. In particular, low-risk stocks produce momentum, and high-risk stocks generate return reversal in momentum portfolios. Short-run momentum is consistently generated by the long winner leg, whereas long-run return reversal is due to the short loser leg of long-short portfolios in the German stock market.

Suggested Citation

  • Hofmann, Daniel & Keiber, Karl Ludwig & Luczak, Adalbert, 2022. "Up and down together? On the linkage of momentum and reversal," Global Finance Journal, Elsevier, vol. 54(C).
    • Handle: RePEc:eee:glofin:v:54:y:2022:i:c:s1044028322000564
    DOI: 10.1016/j.gfj.2022.100754
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    References listed on IDEAS

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    More about this item

    Keywords

    Momentum; Return reversal; Linkage; German stock market;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G40 - Financial Economics - - Behavioral Finance - - - General

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