The Long-Lasting Momentum in Weekly Returns
Reversal is the current stylized fact of weekly returns. However, we find that an opposing and long-lasting
continuation in returns follows the well-documented brief reversal. These subsequent momentum profits
are strong enough to offset the initial reversal and to produce a significant momentum effect over the full
year following portfolio formation. Thus, ex post, extreme weekly returns are not too extreme. Our findings
extend to weekly price movements with and without public news. In addition, there is no relation between
news uncertainty and the momentum in one-week returns.