TY - JOUR T1 - Profitability of Price Momentum Strategies JF - The Journal of Investing SP - 55 LP - 62 DO - 10.3905/joi.2004.412307 VL - 13 IS - 2 AU - Paul Ryan AU - Ingo Overmeyer Y1 - 2004/05/31 UR - https://pm-research.com/content/13/2/55.abstract N2 - 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. ER -