TY - JOUR T1 - Did the Profitability of Momentum and Reversal Strategies Decline with Arbitrage Costs After the Turn of the Millennium? JF - The Journal of Portfolio Management SP - 70 LP - 83 DO - 10.3905/jpm.2015.41.3.070 VL - 41 IS - 3 AU - Jieun Lee AU - Joseph P. Ogden Y1 - 2015/04/30 UR - https://pm-research.com/content/41/3/70.abstract N2 - This article investigates the issue of whether major developments in U.S. stock markets around the turn of the millennium reduced arbitrage costs, and consequently the profitability of momentum, long-term reversal, and short-term reversal strategies. Evidence for the years 1990 to 2013 is generally consistent with these predictions, though effects of the financial crisis of 2008 to 2009 are also evident.TOPICS: Portfolio theory, portfolio management/multi-asset allocation ER -