Echo disappears: momentum term structure and cyclic information in turnover

7 Apr 2023  ·  Haoyu Wang, Junpeng Di, Yuegu Xie ·

We extract cyclic information in turnover and find it can explain the momentum echo. The reversal in recent month momentum is the key factor that cancels out the recent month momentum and excluding it makes the echo regress to a damped shape. Both rational and behavioral theories can explain the reversal. This study is the first explanation of the momentum echo in U.S. stock markets.

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