EconPapers    
Economics at your fingertips  
 

The relevance of information and trading costs in explaining momentum profits: Evidence from optioned and non-optioned stocks

Sina Badreddine, Emilios C. Galariotis () and Phil Holmes
Additional contact information
Emilios C. Galariotis: Audencia Recherche - Audencia Business School

Post-Print from HAL

Abstract: Considerable evidence from many countries suggests momentum strategies generate profits. These have been difficult to rationalise and evidence on the sources of such profitability is inconclusive. We utilise a sample of optioned stocks, characterised by high liquidity, high market capitalisation and fewer short sales constraints and compare results with control samples of non optioned stocks chosen on the basis of market value, turnover and bid-ask spread. The sample characteristics, and the fact that derivatives improve the impounding of information into prices, enable us to draw conclusions about the causes of momentum profits. While we find that short sales constraints are not the major driver of profitability and that most momentum profits disappear using two transactions costs measures of the bid-ask spread, one not previously used, the persistence of some momentum profits indicates that the market underreacts even to the most publicly available information.

Keywords: Momentum; Information; Bid-ask spread; Options (search for similar items in EconPapers)
Date: 2012
References: Add references at CitEc
Citations: View citations in EconPapers (3)

Published in Journal of International Financial Markets, Institutions & Money, 2012, 22 (3), pp.589-608. ⟨10.1016/j.intfin.2012.03.001⟩

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
Journal Article: The relevance of information and trading costs in explaining momentum profits: Evidence from optioned and non-optioned stocks (2012) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-00956948

DOI: 10.1016/j.intfin.2012.03.001

Access Statistics for this paper

More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().

 
Page updated 2024-03-31
Handle: RePEc:hal:journl:hal-00956948