Systematic Momentum: A New Class of Price Patterns

The authors thank the editor, Kay Giesecke, associate editor, and two referees for insightful comments that significantly improved the paper and Vincent Bogousslavsky, Youngmin Choi (discussant), Zhi Da (discussant), Kent Daniel, Jianqing Fan, Ed Fang, Daniel Giamouridis, Amit Goyal (discussant), Bing Han, Steve Heston, Jiantao Huang (discussant), Bryan Kelly, Jiahan Li, Kunpeng Li, Victor Liu, Alejandro Lopez-Lira, Siyuan Ma, David McLean, Alessandro Melone (discussant), Lasse Pedersen, Jeffrey Pontiff, Larry Schmidt, Karlye Dilts Stedman, Sheridan Titman, Xiye Yang (discussant), Xintong Zhan (discussant), Yingquang Zhang, Geng Zhe, seminar participants at Boston College, Capital University of Economics and Business, Fudan University, Georgia State University, Human Normal University, Hunan University, Jiangxi University of Finance and Economics, Merrill Lynch International, Nanjing University, Peking University, Renmin University of China, Rutgers Business School, Tongji University, Tsinghua University, University of Nottingham, Washington University in St. Louis, Xian Jiaotong University, and conference participants at China Fintech Research Conference, the 3rd International Fintech Research Forum, FMA Annual Meeting, New Zealand Finance Meeting, Australasian Finance and Banking Conference, MFA Annual Meeting, 2023 SFS Cavalcade North America, Hong Kong Conference for Fintech, AI and Big Data in Business, and 2023 CFEA Annual Meeting for helpful comments.