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(One of) the standard explanation people gave for momentum is under-reaction of stockholders to firm-specific news.

If this is true, then it seems that these stocks should have more momentum, and also a longer horizon of momentum returns:

1) stocks held less by institutions and more by households (who check their portfolios and news less frequently) 2) stocks that are less liquid (news go into prices slower)

The same could potentially be said about the difference in momentum across asset classes.

Is there any evidence? Any references/ thoughts welcome.

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@assylias: Interesting. So the evidence in Australia is that there is more momentum in illiquid stocks. Any studies related to institutional holdings, anyone? –  J Li Mar 11 at 22:47
    
No the opposite: they find a (small) momentum effect in liquid stocks but an "anti-momentum" (mean reverting?) effect in illiquid stocks. –  assylias Mar 11 at 23:14
    
@assylias: Sorry, typo. –  J Li Mar 13 at 0:45
    
@assylias could you type the name of the paper as an answer - so that it can be found later one even if the linkt dies –  Probilitator Mar 14 at 13:42

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