Abstract
This research examined momentum profitability over a various time horizon and its sources in Indonesian stock market. The results show that the profitability of momentum return was inversely related to its holding period. The average return for 60 days strategy was significantly higher than buy-and-hold, while the return for 10 days strategy was significantly lower from buy-and-hold. In the section of momentum return sources, it is found that sector rotation is significant in explaining momentum returns in both winner and loser portfolio for all time horizons, while other variables have mixed influence.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
