Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
961562 | Journal of Financial Markets | 2008 | 20 Pages |
Abstract
I find that approximately 40 percent of the momentum profit is generated by delisting returns. Most of the delisting-profit is derived from bankrupt firms, while merged firms have a minor effect on the momentum profitability. I further show that ex-ante, firms with high likelihood to go bankrupt exhibit stronger momentum, and firms with high likelihood to be merged exhibit weaker momentum; and that almost the entire profits of these bankruptcy- and merger-candidates strategies are generated by delisting returns. These findings have implications on the size and the implementability of momentum.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Assaf Eisdorfer,