Chen, J.L.2013-03-132013-03-132012Journal of Accounting, Finance and Management Strategy, 2012; 7(1):15-261556-5793http://hdl.handle.net/2440/75869This paper investigates whether momentum is related to liquidity and institutional holding. Our empirical study shows several interesting results. First, high turnover stocks tend to have stronger momentum, which can not be explained by under-reaction model. Second, a new liquidity measure developed by Liu (2006) is negatively related to price momentum. Third, when controlled for firm size, firms with more institutional ownership tend to exhibit higher momentum, particular in small firms. The result is consistent with institution's positive feedback trading. These evidences suggest that investors can choose small firms with high institutional ownership or higher turnover to exploit stronger momentum profit.enCopyright status unknownJournal article002012389922044