#2726. Time-series and cross-sectional momentum in anomaly returns

November 2026publication date
Proposal available till 30-05-2025
4 total number of authors per manuscript3000 $

The title of the journal is available only for the authors who have already paid for
Journal’s subject area:
Economics, Econometrics and Finance (all);
Accounting;
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Abstract:
The article presents strong evidence for time series and sideways momentum in the long and short term returns of a comprehensive sample of anomalies. The results show that strategies that exploit this persistence generate significant anomalous returns that are resistant to equity momentum effects, cannot be explained by traditional asset pricing models, and are more pronounced when arbitrage capital is scarce or market liquidity is lower.
Keywords:
anomalies; idiosyncratic volatility; limits to arbitrage; momentum

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