Momentum effect and liquidity

  title={Momentum effect and liquidity},
  author={Liu Jinyu},
  journal={2018 Chinese Control And Decision Conference (CCDC)},
  • Liu Jinyu
  • Published 2018 in
    2018 Chinese Control And Decision Conference…
This paper investigates the role of firm-specific and market-wide liquidity in affecting the momentum effect. It shows that the momentum effect significantly exists and robust concerning the pricing factors and liquidity variables. Losers (winners) express pronounced liquidity effects that the higher the past turnover, the lower the present performance. The… CONTINUE READING