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<p>We find a consistent momentum return premium of 1.25% p.m. in the global market for luxury watches between June 2017 and September 2024. Investors are inattentive to a series of frequent gradual returns during the momentum formation period and draw more attention to infrequent large returns. For that reason, long-only momentum portfolio profits decrease from 1.26% for luxury watches with continuous information during their formation period to 0.09% for watches with discrete information, but similar cumulative formation-period returns. Conditional on continuous information, momentum profits covary with the market state, return dispersion, and investor sentiment.</p>

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Look at my watch! Continuous information and the momentum effect in the market for luxury watches

  • 期刊论文

  • 发表日期：

    2026年3月30日

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  • Siegfried Köstlmeier,
  • Klaus Röder

摘要

We find a consistent momentum return premium of 1.25% p.m. in the global market for luxury watches between June 2017 and September 2024. Investors are inattentive to a series of frequent gradual returns during the momentum formation period and draw more attention to infrequent large returns. For that reason, long-only momentum portfolio profits decrease from 1.26% for luxury watches with continuous information during their formation period to 0.09% for watches with discrete information, but similar cumulative formation-period returns. Conditional on continuous information, momentum profits covary with the market state, return dispersion, and investor sentiment.