Momentum and Turnover: Evidence from the German Stock Market

Martin Weber and Markus Glaser

No 3353, CEPR Discussion Papers from C.E.P.R. Discussion Papers

Abstract: This Paper analyses the relation between momentum strategies (strategies that buy stocks with high returns over the previous three to 12 months and sell stocks with low returns over the same period) and turnover (number of shares traded divided by the number of shares outstanding) for the German stock market. Our main finding is that momentum strategies are more profitable among high-turnover stocks. In contrast to US evidence, this result is driven mainly by winners: high-turnover winners have higher returns than low-turnover winners. We present various robustness checks, long-horizon results, evidence on seasonality, and control for size-, book-to-market-, and industry-effects. We argue that our results are useful to empirically evaluate competing explanations for the momentum effect.

Keywords: Asset pricing; Momentum strategies; Return predictability; Turnover (search for similar items in EconPapers)
JEL-codes: G10 G11 G12 (search for similar items in EconPapers)
Date: 2002-04
New Economics Papers: this item is included in nep-cfn, nep-fin and nep-fmk
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Citations: View citations in EconPapers (1)

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Related works:
Journal Article: Momentum and Turnover: Evidence from the German Stock Market (2003)
Working Paper: Momentum and Turnover: Evidence from the German Stock Market (2002)
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