The Profitability of Momentum Investing
AbstractWe test for the presence of momentum profits in the UK over the period 1977 to 1998. The analysis shows that significant momentum profits are present in both a comprehensive sample of UK stocks and an accounting sub-sample. An analysis of sub-period results, seasonal effects, and the persistence of momentum profits confirms the robustness of the results. Controlling for factors known to be associated with differences in average returns, such as size, stock price, book-to-market ratio, and cash earnings-to-price ratio, cannot explain momentum profits. We also confirm that serial correlation in common factors and delayed price reaction to common factor realisations cannot explain momentum profits. We conclude that the momentum effect derives from market underreaction to either industry- or firm-specific information and it is a significant, independent phenomenon in UK stock returns. Copyright Blackwell Publishers Ltd 1999.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by Wiley Blackwell in its journal Journal of Business Finance & Accounting.
Volume (Year): 26 (1999-11)
Issue (Month): 9-10 ()
Contact details of provider:
Web page: http://www.blackwellpublishing.com/journal.asp?ref=0306-686X
You can help add them by filling out this form.
Blog mentionsAs found by EconAcademics.org, the blog aggregator for Economics research:CitEc Project, subscribe to its RSS feed for this item.
- Fletcher, Jonathan & Hillier, Joe, 2002. "On the usefulness of linear factor models in predicting expected returns in mean-variance analysis," International Review of Financial Analysis, Elsevier, vol. 11(4), pages 449-466.
- McInish, Thomas H. & Ding, David K. & Pyun, Chong Soo & Wongchoti, Udomsak, 2008. "Short-horizon contrarian and momentum strategies in Asian markets: An integrated analysis," International Review of Financial Analysis, Elsevier, vol. 17(2), pages 312-329.
- Glaser, Markus & Weber, Martin, 2002. "Momentum and Turnover: Evidence from the German Stock Market," CEPR Discussion Papers 3353, C.E.P.R. Discussion Papers.
- Artmann, Sabine & Finter, Philipp & Kempf, Alexander, 2010. "Determinants of expected stock returns: Large sample evidence from the German market," CFR Working Papers 10-01, University of Cologne, Centre for Financial Research (CFR).
- Chou, Pin-Huang & Wei, K.C. John & Chung, Huimin, 2007. "Sources of contrarian profits in the Japanese stock market," Journal of Empirical Finance, Elsevier, vol. 14(3), pages 261-286, June.
- Badreddine, Sina & Galariotis, Emilios C. & Holmes, Phil, 2012. "The relevance of information and trading costs in explaining momentum profits: Evidence from optioned and non-optioned stocks," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(3), pages 589-608.
- Patricia Fraser & Martin Hoesli & Lynn McAlevey, 2008.
"House Prices and Bubbles in New Zealand,"
The Journal of Real Estate Finance and Economics,
Springer, vol. 37(1), pages 71-91, July.
- Hon, Mark T. & Tonks, Ian, 2003.
"Momentum in the UK stock market,"
Journal of Multinational Financial Management,
Elsevier, vol. 13(1), pages 43-70, February.
- Ye, Qing & Turner, John D., 2014. "The cross-section of stock returns in an early stock market," QUCEH Working Paper Series 14-05, Queen's University Centre for Economic History, Queen's University Belfast.
- Roscoe, Philip & Howorth, Carole, 2009. "Identification through technical analysis: A study of charting and UK non-professional investors," Accounting, Organizations and Society, Elsevier, vol. 34(2), pages 206-221, February.
- Xiafei Li & Chris Brooks & Joelle Miffre, 2006.
"Momentum Profits and Time-Varying Unsystematic Risk,"
ICMA Centre Discussion Papers in Finance
icma-dp2006-09, Henley Business School, Reading University, revised Sep 2006.
- Li, Xiafei & Miffre, Joëlle & Brooks, Chris & O'Sullivan, Niall, 2008. "Momentum profits and time-varying unsystematic risk," Journal of Banking & Finance, Elsevier, vol. 32(4), pages 541-558, April.
- Lasfer, M. Ameziane & Melnik, Arie & Thomas, Dylan C., 2003. "Short-term reaction of stock markets in stressful circumstances," Journal of Banking & Finance, Elsevier, vol. 27(10), pages 1959-1977, October.
- Chelley-Steeley, Patricia & Siganos, Antonios, 2008.
"Momentum profits in alternative stock market structures,"
Journal of Multinational Financial Management,
Elsevier, vol. 18(2), pages 131-144, April.
- Patricia Chelley-Steeley & Antonios Siganos, 2005. "Momentum Profits in Alternative Stock Market Structures," Money Macro and Finance (MMF) Research Group Conference 2005 63, Money Macro and Finance Research Group.
- Bettman, Jenni L. & Maher, Thomas R.B. & Sault, Stephen J., 2009. "Momentum profits in the Australian equity market: A matched firm approach," Pacific-Basin Finance Journal, Elsevier, vol. 17(5), pages 565-579, November.
- Nawar, Hashem, 2010. "Industry Concentration and the Cross-section of Stock Returns: Evidence from the UK," MPRA Paper 28440, University Library of Munich, Germany, revised Nov 2010.
- Morelli, David, 2014. "Momentum profits and conditional time-varying systematic risk," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 29(C), pages 242-255.
- Xiafei Li & Chris Brooks & Joelle Miffre, 2009. "Transaction Costs, Trading Volume and Momentum Strategies," ICMA Centre Discussion Papers in Finance icma-dp2009-04, Henley Business School, Reading University.
- Ising, Jan & Schiereck, Dirk & Simpson, Marc W. & Thomas, Thomas W., 2006. "Stock returns following large 1-month declines and jumps: Evidence of overoptimism in the German market," The Quarterly Review of Economics and Finance, Elsevier, vol. 46(4), pages 598-619, September.
- Jonathan Fletcher & David Forbes, 2002. "U.K. Unit Trust Performance: Does it Matter Which Benchmark or Measure is Used?," Journal of Financial Services Research, Springer, vol. 21(3), pages 195-218, June.
- Keith Lam & Frank Li & Simon So, 2010. "On the validity of the augmented Fama and French’s (1993) model: evidence from the Hong Kong stock market," Review of Quantitative Finance and Accounting, Springer, vol. 35(1), pages 89-111, July.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing) or (Christopher F. Baum).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.