The profitability of momentum trading strategies: Empirical evidence from Hong Kong

Joseph W. Cheng and Hiu-fung Wu

International Review of Economics & Finance, 2010, vol. 19, issue 4, 527-538

Abstract: This paper investigates whether momentum trading strategies are profitable in the Hong Kong stock market, and examines the sources of such profitability. Momentum portfolios are significantly profitable in the intermediate term in Hong Kong, but the profits become insignificant after risk adjustment by the Chordia and Shivakumar (2001) model. The stock-specific return strategy and factor-related return strategy are analyzed to examine which portion of the total return causes stocks to enter extreme portfolios. The Chordia and Shivakumar factor-related return strategy obtains profits with a magnitude that is close to that which is attained by the total return momentum strategy. Additional evidence further supports the view that the Chordia and Shivakumar model captures momentum profits.

Keywords: Momentum; trading; Stock-specific; return; strategy; Factor-related; return; strategy; Risk-adjusted; return; Hong; Kong; stock; market (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (11)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:reveco:v:19:y:2010:i:4:p:527-538

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