Another look at momentum crashes: momentum in the European Monetary Union

Klaus Grobys

Applied Economics, 2016, vol. 48, issue 19, 1759-1766

Abstract: This article studies the profitability of a selection of prominent momentum-based strategies in the European Monetary Union (EMU). In contrast to past examples documenting the lack of profitability of unconditional price momentum in the most recent decade, the current research finds that unconditional price momentum yielded significant positive payoffs. There is evidence of option-like behaviour for strategies based on intermediate past performance. Surprisingly, there is no such evidence for the momentum strategy based on recent past performance.

Date: 2016
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DOI: 10.1080/00036846.2015.1105931

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