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The Long-Lasting Momentum in Weekly Returns




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    • Gutierrez is at the Lundquist College of Business, University of Oregon. Kelley is at the Eller College of Management, University of Arizona. We thank two anonymous referees, Rob Stambaugh, Wayne Ferson, Christo Pirinsky, and seminar participants at Auburn University, Indiana University at South Bend, Rutgers University at Camden, Texas A&M University, Texas Tech University, University of Arizona, University of Oregon, University of Utah, Washington State University, and the 2004 Financial Management Association Meetings for their comments. Special thanks go to Wes Chan for graciously providing his data on headline news and to Ekkehart Boehmer and Jerry Martin for data assistance. Kelley acknowledges financial support from the Mays Post-Doctoral Fellowship at Mays Business School, Texas A&M University. Kelley also completed a portion of this work while on the faculty at the College of Business and Economics, Washington State University. Any errors are ours.


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.

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