dc.description.abstract | This paper seeks to investigate the role of autocorrelation and cross-serial
correlation for momentum in stock returns. Using different momentum
portfolios applied to the US stock market from January 1941 to December
2021, we find that negative cross-serial correlation drives momentum
profits over longer return horizons, while negative autocorrelations act as
a reducing factor. However, when the return horizons are shortened, their
roles change as autocorrelations become more positive, while cross-serial
correlations become less negative. We conclude that underreaction as an
explanation of momentum can co-exist alongside negative autocorrelation
since the value of serial-correlation varies with different return horizons. | en_US |