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Feasible Momentum Strategies in the US Stock Market
Journal
Journal of Asset Management
ISSN
1470-8272
ISSN-Digital
1479-179X
Type
journal article
Date Issued
2011-02
Author(s)
Abstract
While there is a large literature documenting the profitability of momentum strategies, their implementation is afflicted with many difficulties. Most importantly, high turnover and costs to hold short positions, especially in small-cap stocks, result in high transaction costs. We restrict our investment universe to large-capitalized stocks included in the S&P 100 index. Moreover, we implement simple investment strategies that invest long in single stocks and short in the stock index. Such simple and cost-saving momentum strategies generate economically high and statistically significant abnormal returns. These results are robust to various risk-adjustments including the CAPM, the Fama French (1993) three-factor model, and a conditional version of the Fama and French (1993) three-factor model.
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1694700
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1694700
Language
English
Keywords
Momentum strategies
Large-cap stocks
Stock market predictability
HSG Classification
contribution to scientific community
Refereed
Yes
Publisher
Henry Stewart Publishers
Publisher place
London UK
Volume
11
Number
6
Start page
362
End page
374
Pages
13
Subject(s)
Division(s)
Eprints ID
69868