RT Journal Article SR Electronic T1 Empirical Study on Price Momentum Strategy for Long, Short, and Long/Short Equity Portfolios JF The Journal of Wealth Management FD Institutional Investor Journals SP 73 OP 87 DO 10.3905/jwm.2003.320478 VO 6 IS 1 A1 Susana Yu A1 Avner Wolf YR 2003 UL https://pm-research.com/content/6/1/73.abstract AB The authors start by observing that the optimal holding periods for long, short, and long/short equity portfolios must vary with transaction costs. The optimal holding period ranges from six to nine months, depending upon the type of portfolios being considered. Optimal efficiency occurs in portfolios containing between 20 and 80 securities, while efficiency is compromised in portfolios consisting of more than 100 stocks. They show that adjusted short and long/short equity portfolios' returns exhibit graphical patterns similar to the ones in the original short and long/short equity portfolios; however, these adjusted portfolio returns are amplified.