Constrained Momentum Investment

Marcus Davidsson

International Journal of Financial Research, 2012, vol. 3, issue 2, 69-77

Abstract: The previous literature on momentum investments has only considered the so called unconstrained momentum return. This paper will investigate budget constrained momentum returns by using two different datasets. The conclusion is that unconstrained momentum returns systematically overestimate the positive returns and underestimates the negative returns. This has not previously been understood. Such a result has important implications for applied portfolio investments and the attractiveness of such strategy.

Keywords: Momentum Investment; Expected Return; Portfolio Theory (search for similar items in EconPapers)
Date: 2012
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Persistent link: https://EconPapers.repec.org/RePEc:jfr:ijfr11:v:3:y:2012:i:2:p:69-77

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