Abstract
Momentum profitability depends on the market state, with protracted market gains (UP state) heralding momentum profits and prolonged market declines (DOWN state) ushering momentum losses. Previous literature documents a monotonic negative relationship between information discreteness and momentum, consistent with the Frog in the Pan (FIP) hypothesis. This study shows that the relationship is exclusive to UP markets. Outlier-based aggregate discreteness measures indicate that information reaches investors with higher discreteness in DOWN than UP markets, consistent with the absence of momentum profitability in DOWN markets according to the FIP hypothesis.
Sign-in/Register to access full text options 
Free) 
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 call
