Zeng HMarshall BRNguyen NHVisaltanachoti N2025-04-302025-04-302025-06Zeng H, Marshall BR, Nguyen NH, Visaltanachoti N. (2025). Improving momentum returns using generalized linear models. International Review of Finance. 25. 2.1369-412Xhttps://mro.massey.ac.nz/handle/10179/72820We 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.(c) 2025 The Author/sCC BY 4.0https://creativecommons.org/licenses/by/4.0/enduring momentum probabilityfirm characteristicsmomentumJournal article10.1111/irfi.700141468-2443journal-articlee70014