PT - JOURNAL ARTICLE AU - Paul Ryan AU - Ingo Overmeyer TI - Profitability of Price Momentum Strategies AID - 10.3905/joi.2004.412307 DP - 2004 May 31 TA - The Journal of Investing PG - 55--62 VI - 13 IP - 2 4099 - https://pm-research.com/content/13/2/55.short 4100 - https://pm-research.com/content/13/2/55.full AB - Price momentum strategies on the DAX 100 are profitable and readily exploitable, even with realistic transaction costs, by institutional investors who tend to concentrate portfolio weights in large-capitalization stocks. This profitability is not explained by failure to adjust for systematic risk, delayed reaction to a common factor, or serial correlation in common factor realizations. The results are consistent with underreaction to firm- or industry-related news, and there is no evidence of price reversals in the three years following portfolio formation.