(John Wiley and Sons Australia, Ltd on behalf of International Review of Finance Ltd, 2025-06) Zeng H; Marshall BR; Nguyen NH; Visaltanachoti N
We estimate the enduring momentum probabilities of past winners and losers continuing as future winners and losers by incorporating a comprehensive set of firm characteristics. Our results reveal that combining the price momentum signals and enduring momentum probabilities generates returns double those of the traditional price momentum strategy. Furthermore, the robust performance of the enduring momentum strategy cannot be fully attributed to factors such as seasonality, limits to arbitrage, and transaction costs.
