RT Journal Article
SR Electronic
T1 Did the Profitability of Momentum and Reversal Strategies Decline with Arbitrage Costs After the Turn of the Millennium?
JF The Journal of Portfolio Management
FD Institutional Investor Journals
SP 70
OP 83
DO 10.3905/jpm.2015.41.3.070
VO 41
IS 3
A1 Jieun Lee
A1 Joseph P. Ogden
YR 2015
UL https://pm-research.com/content/41/3/70.abstract
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