Feasible momentum strategies in the US stock market

Manuel Ammann, Marcel Moellenbeck and Markus Schmid

Journal of Asset Management, 2011, vol. 11, issue 6, No 2, 362-374

Abstract: Abstract Although there is a large literature documenting the profitability of momentum strategies, their implementation is afflicted with many difficulties. Most importantly, high turnover and costs to hold short positions, especially in small-cap stocks, result in high transaction costs. We restrict our investment universe to large-capitalized stocks included in the Standard and Poor's (S&P) 100 index. Moreover, we implement simple investment strategies that invest long in single stocks and short in the stock index. Such simple and cost-saving momentum strategies generate economically high and statistically significant abnormal returns. These results are robust to various risk-adjustments including the CAPM, the Fama–French (1993) three-factor model, and a conditional version of the Fama and French (1993) three-factor model.

Keywords: momentum strategies; large-cap stocks; stock market predictability (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (7)

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DOI: 10.1057/jam.2010.22

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