The Long‐Lasting Momentum in Weekly Returns
发现周度回报在短暂反转后存在长期持续性动量，该动量足以抵消初始反转并在全年产生显著动量效应，且不受新闻不确定性影响。
ABSTRACT Reversal is the current stylized fact of weekly returns. However, we find that an opposing and long‐lasting continuation in returns follows the well‐documented brief reversal. These subsequent momentum profits are strong enough to offset the initial reversal and to produce a significant momentum effect over the full year following portfolio formation. Thus, ex post, extreme weekly returns are not too extreme. Our findings extend to weekly price movements with and without public news. In addition, there is no relation between news uncertainty and the momentum in 1‐week returns.