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Primary Article

Empirical Study on Price Momentum Strategy for Long, Short, and Long/Short Equity Portfolios

Optimal Rebalancing Period and Optimal Size

Susana Yu and Avner Wolf
The Journal of Wealth Management Summer 2003, 6 (1) 73-87; DOI: https://doi.org/10.3905/jwm.2003.320478
Susana Yu
An assistant professor in the Department of Economics and Finance at the State University of New York at Plattsburgh.
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  • For correspondence: yus@plattsburgh.edu
Avner Wolf
Chairperson of the Department of Economics and Finance at Baruch College, The City University of New York.
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  • For correspondence: aver_wolf@baruch.cuny.edu
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Abstract

The authors start by observing that the optimal holding periods for long, short, and long/short equity portfolios must vary with transaction costs. The optimal holding period ranges from six to nine months, depending upon the type of portfolios being considered. Optimal efficiency occurs in portfolios containing between 20 and 80 securities, while efficiency is compromised in portfolios consisting of more than 100 stocks. They show that adjusted short and long/short equity portfolios' returns exhibit graphical patterns similar to the ones in the original short and long/short equity portfolios; however, these adjusted portfolio returns are amplified.

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The Journal of Wealth Management
Vol. 6, Issue 1
Summer 2003
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Empirical Study on Price Momentum Strategy for Long, Short, and Long/Short Equity Portfolios
Susana Yu, Avner Wolf
The Journal of Wealth Management Apr 2003, 6 (1) 73-87; DOI: 10.3905/jwm.2003.320478

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Empirical Study on Price Momentum Strategy for Long, Short, and Long/Short Equity Portfolios
Susana Yu, Avner Wolf
The Journal of Wealth Management Apr 2003, 6 (1) 73-87; DOI: 10.3905/jwm.2003.320478
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