Revisiting the momentum factor in the U.K. stock market

Mohammad Momani ()
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Mohammad Momani: the Department of Banking & Financial Sciences, the Hashemite University

Economics Bulletin, 2018, vol. 38, issue 1, 528-531

Abstract: The objective of this study is to examine the Carhart (1997) four-factor asset pricing model to revisit whether the momentum factor is indeed priced in the U.K. equity market, over the period from October 1980 through June 2016. The study applies the state-of-the-art two-pass cross-sectional regression methodology of Lewellen et al. (2010). I find the momentum factor is not priced. The result is robust using a shorter sample that excludes the recent financial crisis data.

Keywords: Momentum; Cross-Sectional; Asset Pricing; U.K. (search for similar items in EconPapers)
JEL-codes: G1 (search for similar items in EconPapers)
Date: 2018-03-23
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