Bad News Travels Slowly : Size , Analyst Coverage , and the Profitability of Momentum Strategies

@inproceedings{Hong1998BadNT,
  title={Bad News Travels Slowly : Size , Analyst Coverage , and the Profitability of Momentum Strategies},
  author={Harrison Hong and Terence Chee Wen Lim and Jeremy C. Stein},
  year={1998}
}
Various theories have been proposed to explain momentum in stock returns. We test the gradual-information-diffusion model of Hong and Stein ~1999! and establish three key results. First, once one moves past the very smallest stocks, the profitability of momentum strategies declines sharply with firm size. Second, holding size fixed, momentum strategies work… CONTINUE READING