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Momentum and Turnover: Evidence from the German Stock Market

Markus Glaser and Martin Weber

Schmalenbach Business Review (sbr), 2003, vol. 55, issue 2, 108-135

Abstract: This paper analyzes the relation between momentum strategies (strategies that buy stocks with high returns over the previous three to twelve months and sell stocks with low returns over the same period) and turnover (number of shares traded divided by the number of shares outstanding) for the German stock market. Our main finding is that momentum strategies are more profitable among high turnover stocks. In contrast to U.S. evidence, this result is mainly driven by winners: high-turnover winners have higher returns than low-turnover winners. We present various robustness checks, long horizon results, evidence on seasonality, and control for size-, book-to-market-, and industry-effects. We argue that our results are useful to empirically evaluate competing explanations for the momentum effect.

Keywords: Asset Pricing; Momentum; Momentum Strategies; Return Predictability; Turnover; Trading Volume. (search for similar items in EconPapers)
JEL-codes: G10 G11 G12 (search for similar items in EconPapers)
Date: 2003
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Working Paper: Momentum and Turnover: Evidence from the German Stock Market (2002)
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