The disappearance of momentum

Soosung Hwang () and Alexandre Rubesam

The European Journal of Finance, 2015, vol. 21, issue 7, 584-607

Abstract: We investigate the dynamics of the momentum premium in the USA. The momentum premium is significantly positive only during certain periods, notably from the 1940s to the mid-1960s and from the mid-1970s to the late 1990s, and it has disappeared since the late 1990s. Our results further suggest that momentum profits have slowly disappeared since the early 1990s, in a process which was delayed by the occurrence of the high-tech and telecom stock bubble of the late 1990s. In particular, we estimate that the bubble accounted for at least 50% of momentum profits during the period from 1994 to 2000.

Date: 2015
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Citations: View citations in EconPapers (25)

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DOI: 10.1080/1351847X.2013.865654

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