PT  - JOURNAL ARTICLE
AU  - Jieun Lee
AU  - Joseph P. Ogden
TI  - Did the Profitability of Momentum and Reversal Strategies Decline with Arbitrage Costs After the Turn of the Millennium?
AID  - 10.3905/jpm.2015.41.3.070
DP  - 2015 Apr 30
TA  - The Journal of Portfolio Management
PG  - 70--83
VI  - 41
IP  - 3
4099  - https://pm-research.com/content/41/3/70.short
4100  - https://pm-research.com/content/41/3/70.full
AB  - 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