3-12 month returns and earning momentum is consistently profitable. The best performer are no more riskier than worst performers. Hence, standard risk adjustments tend to increase the return spread between the winner and losers.
The cause is overreaction or underreaction to information. There is reversal over weeks to months and years and 5 years, while momentum at 3-12 months. There is seasonality in January with negative returns and positive for every other month.
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