Momentum and industry-dependence: An analysis of the Swiss stock market

Tim Herberger (), Daniel Kohlert () and Andreas Oehler
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Tim Herberger: University of Bamberg
Daniel Kohlert: University of Bamberg

Journal of Asset Management, 2011, vol. 11, issue 6, No 4, 400 pages

Abstract: Abstract Various studies have shown that future stock returns are predictable based on past returns in many international security markets. Developing strategies to benefit from these autocorrelations of security returns and finding reasons for the abnormal positive returns resulting from trading strategies are major objectives of investment research. Following Jegadeesh and Titman, we analyze the profitability of momentum strategies in the Swiss stock market over the period from December 1979 until February 2009. Controlling for market returns and for transaction costs, we find that investors using momentum strategies could have indeed generated superior returns during that time period. This applies for several combinations of ranking and holding periods. In addition, we analyze for the first time whether the returns of momentum strategies involving Swiss stocks are industry-dependent. Our findings suggest that momentum in the Swiss stock market is clearly driven by high-technology stocks. The financial sector, in contrast, performs worst over that period of time.

Keywords: behavioral finance; underreaction; momentum strategies; industry effects (search for similar items in EconPapers)
Date: 2011
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DOI: 10.1057/jam.2010.23

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