University of St.Gallen
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Feasible Momentum Strategies in the US Stock Market

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
   
type journal paper
   
keywords Momentum strategies, Large-cap stocks, Stock market predictability
   
language English
kind of paper journal article
date of appearance 2-2011
journal Journal of Asset Management
publisher Henry Stewart Publishers (London UK)
ISSN 1470-8272
ISSN (online) 1479-179X
DOI 10.1057/jam.2010.22
volume of journal 11
number of issue 6
page(s) 362-374
review double-blind review
   
citation Ammann, M., Moellenbeck, M., & Schmid, M. (2011). Feasible Momentum Strategies in the US Stock Market. Journal of Asset Management, 11(6), 362-374, DOI:10.1057/jam.2010.22.