Paper Title
Detailed Research of Old Momentum

Abstract
This paper mainly investigates the relationship between old/young momentum strategy and PEAD or HML strategy. momentum strategy is often effectively implemented by buying winner stocks and selling loser stocks . I split momentum into old momentum and young momentum. Based on regarding young momentum as the benchmark, I conducted a detailed research of old momentum. Through calculating old momentum’s and young momentum’s correlation with Post Earning Announcement Drift (PEAD) and HML in different ways, I have two findings. The first is that compared to young momentum, old momentum has better return as its correlation with PEAD increases. The second is that when the correlation between HML and total momentum is low, as the negative correlation of old momentum and HML decreases, the return of old momentum increases. Therefore, old momentum has a better ability to absorb new information in the market and reflect them in prices. After appropriately increasing the proportion of value stocks, old momentum profitability increases. Keywords - Old Momentum, Young Momentum, PEAD, HML, Correlation