Abstract
This paper shows the presence of positive momentum return in the short run but no subsequent price reversal in the Singapore Market. Rather, price momentum continues in the long run. It also demonstrates that momentum profit is higher for the small and highly volatile firms rather than the large stable firms. Both portfolio level and firm-level cross-sectional analyses are used to show the relationships.
| Original language | English |
|---|---|
| Pages (from-to) | – |
| Journal | Asia-Pacific Journal of Accounting and Economics |
| DOIs | |
| Publication status | Published - 24 Apr 2020 |
| MoE publication type | A1 Journal article-refereed |
Keywords
- Momentum
- Reversal
- Singapore Stock Market