Do Several Forms of Momentum Anomalies in the US Still Exist?

Investigating monthly US data from January 1965 to March 2017 we find that the best possible asset pricing model consistsof the Fama and French three-factor model with the momentum factor, the short-term reversal factor and the long-term reversal factor. We draw this conclusion based on several tests of model performances. These tests also show that single-sorted portfolios performed betterthan double-sorted portfolios for the period investigated in the US. For the momentum and reversal factors we find that the factors areonlysignificant if they correspond with some single-sorted dependent variables. This means that the model only works for particular sorts of portfolios.