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Momentum and Turnover: Evidence from the German Stock Market

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Author Info
Glaser, Markus
Weber, Martin
Abstract

This Paper analyses 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 driven mainly 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.

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Paper provided by C.E.P.R. Discussion Papers in its series CEPR Discussion Papers with number 3353.

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Date of creation: Apr 2002
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Handle: RePEc:cpr:ceprdp:3353

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Related research
Keywords: asset pricing; momentum strategies; return predictability; turnover;

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Find related papers by JEL classification:
G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
G12 - Financial Economics - - General Financial Markets - - - Asset Pricing

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