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International comparison of returns from conventional, industrial and 52-week high momentum strategies

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Author Info

  • Gupta, Kartick
  • Locke, Stuart
  • Scrimgeour, Frank

Abstract

The performance of industrial and 52-week high momentum strategies is compared to the conventional strategy, using a large sample of stocks drawn from multiple countries covering a quarter of century to 2007. The sample of 51,879 stocks in 51 countries removes the potential for criticism, such as data mining, and provides more generalisable findings and knowledge concerning the robustness and usefulness of return from momentum strategies. Both the industry and 52-week high strategies generate positive returns but neither is greater than the conventional momentum strategy. A new 52-week high industry momentum strategy is examined and it achieves a similar result.

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Bibliographic Info

Article provided by Elsevier in its journal Journal of International Financial Markets, Institutions and Money.

Volume (Year): 20 (2010)
Issue (Month): 4 (October)
Pages: 423-435

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Handle: RePEc:eee:intfin:v:20:y:2010:i:4:p:423-435

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Web page: http://www.elsevier.com/locate/intfin

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Keywords: International study Industrial momentum 52-Week high momentum;

References

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  1. Tarun Chordia & Lakshmanan Shivakumar, 2002. "Momentum, Business Cycle, and Time-varying Expected Returns," Journal of Finance, American Finance Association, vol. 57(2), pages 985-1019, 04.
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  13. 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.
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Cited by:
  1. 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.
  2. Wu, Yuliang & Li, Youwei, 2011. "Long-term return reversals--Value and growth or tax? UK evidence," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 21(3), pages 347-368, July.

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