Profitability of CAPM Momentum Strategies in the US Stock Market

Terence Tai Leung Chong, Qing He, Hugo Tak Sang Ip and Jonathan T. Siu

MPRA Paper from University Library of Munich, Germany

Abstract: This paper provides a historical review of the performance of the risk-adjusted momentum strategies when buying and selling stocks according to the alpha estimates of the CAPM and Fama–French regressions. Our sample covers over 60 million US daily firm-return observations. High Sharpe ratios are obtained under our risk-adjusted strategies. It is also found that stock market crashes have no apparent impact on our momentum profits.

Keywords: Momentum Strategies; Sharpe Ratio; Fama-French Model; CAPM Model. (search for similar items in EconPapers)
JEL-codes: G14 (search for similar items in EconPapers)
Date: 2017-06-29
New Economics Papers: this item is included in nep-fmk
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