%0 Journal Article %A Jieun Lee %A Joseph P. Ogden %T Did the Profitability of Momentum and Reversal Strategies Decline with Arbitrage Costs After the Turn of the Millennium? %D 2015 %R 10.3905/jpm.2015.41.3.070 %J The Journal of Portfolio Management %P 70-83 %V 41 %N 3 %X This article investigates the issue of whether major developments in U.S. stock markets around the turn of the millennium reduced arbitrage costs, and consequently the profitability of momentum, long-term reversal, and short-term reversal strategies. Evidence for the years 1990 to 2013 is generally consistent with these predictions, though effects of the financial crisis of 2008 to 2009 are also evident.TOPICS: Portfolio theory, portfolio management/multi-asset allocation %U https://jpm.pm-research.com/content/iijpormgmt/41/3/70.full.pdf