Momentum strategies in European equity markets: Perspectives on the recent financial and European debt crises

Halim Abourachid, Alexander Kubo and Sven Orbach

Finance Research Letters, 2017, vol. 23, issue C, 147-151

Abstract: We investigate the profitability and return patterns of momentum strategies in 10 European countries. Using data from December 2003 to December 2015, we find momentum returns to be lower than to those reported in previous research. Our results indicate that the low momentum returns can be attributed to market conditions during the period of 2007–2012. When examining momentum returns generated by small and large stocks in separate time periods, we find momentum returns to be stronger among small stocks and weaker in large stocks.

Keywords: Momentum strategy; Profitability; Portfolio selection; Financial crises (search for similar items in EconPapers)
JEL-codes: G11 G12 G15 (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:23:y:2017:i:c:p:147-151

DOI: 10.1016/j.frl.2017.05.013

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