Do Momentum and Reversal Matter in the Singapore Stock Market?

Abstract

<p>This paper shows the presence of positive momentum return in the short run but no<br />subsequent price reversal in the Singapore Market. Rather price momentum continues in the long<br />run. It also demonstrates that momentum profit is higher for the small and highly volatile firms<br />rather than the large stable firms. Both portfolio level and firm-level cross-sectional analyses are<br />used to show the relationships. <br /></p>