What is 12_2 momentum?
The academic research response is to focus on so-called, “12_2 momentum,” which measures the total return to a stock over the past twelve months, but ignores the previous month.
What is price momentum momentum?
Price momentum is a market-based trading strategy that seeks to use publicly-available information of previous prices, returns and/or trading volume to extract abnormal returns.
Should the previous month’s return be included in the momentum calculation?
Thus, most academics ignore the previous month’s return (or week in the case of JT 1993) in the momentum calculation, and we also do this in order to eliminate this short-term reversal effect when implementing the strategy. It should be noted, however, that including the previous month’s returns has a marginal affect on the performance of momentum.
How do I contact momentum BMW?
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