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Momentum strategies in European equity markets: Perspectives on the recent financial and European debt crises

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  • Abourachid, Halim
  • Kubo, Alexander
  • Orbach, Sven

Abstract

We investigate the profitability and return patterns of momentum strategies in 10 European countries. Using data from December 2003 to December 2015, we find momentum returns to be lower than to those reported in previous research. Our results indicate that the low momentum returns can be attributed to market conditions during the period of 2007–2012. When examining momentum returns generated by small and large stocks in separate time periods, we find momentum returns to be stronger among small stocks and weaker in large stocks.

Suggested Citation

  • Abourachid, Halim & Kubo, Alexander & Orbach, Sven, 2017. "Momentum strategies in European equity markets: Perspectives on the recent financial and European debt crises," Finance Research Letters, Elsevier, vol. 23(C), pages 147-151.
    • Handle: RePEc:eee:finlet:v:23:y:2017:i:c:p:147-151
    DOI: 10.1016/j.frl.2017.05.013
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    References listed on IDEAS

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    1. Harrison Hong & Jeremy C. Stein, 1999. "A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets," Journal of Finance, American Finance Association, vol. 54(6), pages 2143-2184, December.
    2. Ozgur S. Ince & R. Burt Porter, 2006. "Individual Equity Return Data From Thomson Datastream: Handle With Care!," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 29(4), pages 463-479, December.
    3. Annaert, Jan & De Ceuster, Marc & Verstegen, Kurt, 2013. "Are extreme returns priced in the stock market? European evidence," Journal of Banking & Finance, Elsevier, vol. 37(9), pages 3401-3411.
    4. Narasimhan Jegadeesh & Sheridan Titman, 2001. "Profitability of Momentum Strategies: An Evaluation of Alternative Explanations," Journal of Finance, American Finance Association, vol. 56(2), pages 699-720, April.
    5. Peter S. Schmidt & Andreas Schrimpf & Urs von Arx & Alexander F. Wagner & Andreas Ziegler, 2011. "On the Construction of Common Size, Value and Momentum Factors in International Stock Markets: A Guide with Applications," CER-ETH Economics working paper series 11/141, CER-ETH - Center of Economic Research (CER-ETH) at ETH Zurich.
    6. K. Geert Rouwenhorst, 1998. "International Momentum Strategies," Journal of Finance, American Finance Association, vol. 53(1), pages 267-284, February.
    7. Jegadeesh, Narasimhan & Titman, Sheridan, 1993. "Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency," Journal of Finance, American Finance Association, vol. 48(1), pages 65-91, March.
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    Cited by:

    1. Mehdi Zolfaghari & Bahram Sahabi, 2021. "The impact of oil price and exchange rate on momentum strategy profits in stock market: evidence from oil-rich developing countries," Review of Managerial Science, Springer, vol. 15(7), pages 1981-2023, October.

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    More about this item

    Keywords

    Momentum strategy; Profitability; Portfolio selection; Financial crises;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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