Momentum and Turnover: Evidence from the German Stock Market

Markus Glaser () and Martin Weber
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Markus Glaser: Sonderforschungsbereich 504, Postal: L 13, 15, D-68131 Mannheim

No 02-43, Sonderforschungsbereich 504 Publications from Sonderforschungsbereich 504, Universität Mannheim, Sonderforschungsbereich 504, University of Mannheim

Abstract: This paper analyzes the relation between momentum strategies (strategies that buy stocks with high returns over the previous three to 12 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 US 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.

Pages: 35 pages
Date: 2002-05-02
New Economics Papers: this item is included in nep-fin
Note: Financial support from the Deutsche Forschungsgemeinschaft (DFG) is gratefully acknowledged.
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Related works:
Journal Article: Momentum and Turnover: Evidence from the German Stock Market (2003)
Working Paper: Momentum and Turnover: Evidence from the German Stock Market (2002)
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