IDEAS home Printed from https://ideas.repec.org/a/eme/ejmbep/ejmbe-02-2021-0057.html
   My bibliography  Save this article

Momentum investing: evidence from the US tourism and hospitality

Author

Listed:
  • Mohamed Shaker Ahmed

Abstract

Purpose - The present research aims to examine a range of momentum trading strategies for the tourism and hospitality sector. Design/methodology/approach - The paper followed the methodology of Jegadeesh and Titman (1993) to construct the portfolios. In this methodology, all portfolios were formed and evaluated by their cumulative stock returns over the pastJperiods and holding the position for the nextKperiods. In total, nine formation and holding periods were used, represented by 3, 6 and 12. For example, strategy 3–3 (that is, strategy withJ = 3 andK = 3) refers to the strategy that stocks are ranked based on their previous three months and then held for the next three months. Findings - The findings demonstrated that none of these momentum investing strategies was profitable. Most of the results, however, show positive, but insignificant momentum returns. This finding can be interpreted as price reversal over a horizon of three to twelve months in the US hospitality and tourism sector. These results are robust to size, different formation and holding combinations, beta and turnover. Research limitations/implications - Regarding the research limitations, this paper only considers the US tourism and hospitality sector. Therefore, the extension of results to other developed and developing markets should be taken carefully. Also, this paper relies only on the methodology of Jegadeesh and Titman (1993). Other methodologies could be suitable avenues for future research. Practical implications - Investors and portfolio managers who seek for earning abnormal returns by investing in the US HT stocks can attain their hopes by constructing portfolios based on existing guidelines in the literature and adopting a short-term reversal trading strategy or by buying past losers and selling past winners of the US tourism and hospitality stocks. Originality/value - This research contributes to the hospitality finance literature by offering the investors who are interested in the US hospitality and tourism sector an uncomplicated trading rule that uses real return data and is expected to generate actual returns. Moreover, the momentum strategy of Jegadeesh and Titman (1993) is never used in the hospitality finance literature. 研究目的 - 本研究旨在探討各種可應用於旅遊及酒店業的動量交易策略。 研究設計/方法/理念 - 本文按照 Jegadeesh 和 Titman(1993)的研究方法來建造投資組合。使用這研究方法時,所有投資組合均以它們在過去J 時期的累積股票收益和在未來K 時期的持倉來建立及評價的。九個組成方式及持有期被使用,以3、6、12來表示。例如,策略3-3(那就是說,該策略以J = 3和 K = 3)指的策略是以有關的股票基於過去三個月而被分等級,繼而在未來三個月被持有。 研究結果 - 研究結果顯示,這些投資策略全沒帶來利潤;唯大部分結果顯示正動能策略報酬,雖報酬是微不足道的。這研究結果或許可理解為在美國酒店及旅遊業為期三至十二個月的價格逆轉。這些結果就規模、不同組成方式和持有組合、beta 和成交量而言是強而有力的。 研究的局限/意義 - 就研究的局限而言,本文只是考慮美國的酒店及旅遊業;因此,如把研究結果伸延至其它已開發或發展中的市場,則需小心處理。另外,本文只依賴 Jegadeesh 和 Titman(1993)的研究方法,就此,使用其它研究方法會是日後相關研究的適當途徑。 實際的意義 - 欲透過投資於美國酒店及旅遊股票而尋求賺取異常收益的投資者和投資組合經理可如願以償,方法是基於文獻內現存的準則建造投資組合,以及採用短期的逆轉交易策略,或買入美國酒店及旅遊業過去輸家及賣出過去贏家。 研究的原創性/價值 - 本研究為酒店金融文獻作出貢獻,因研究為對美國酒店及旅遊業有興趣的投資者提供了使用實際收益數據及預期可創造實際回報的簡單交易規則;而且, Jegadeesh 和 Titman(1993)的動量策略從未在酒店金融文獻內被使用過。

Suggested Citation

  • Mohamed Shaker Ahmed, 2021. "Momentum investing: evidence from the US tourism and hospitality," European Journal of Management and Business Economics, Emerald Group Publishing Limited, vol. 31(3), pages 269-284, June.
  • Handle: RePEc:eme:ejmbep:ejmbe-02-2021-0057
    DOI: 10.1108/EJMBE-02-2021-0057
    as

    Download full text from publisher

    File URL: https://www.emerald.com/insight/content/doi/10.1108/EJMBE-02-2021-0057/full/html?utm_source=repec&utm_medium=feed&utm_campaign=repec
    Download Restriction: no

    File URL: https://www.emerald.com/insight/content/doi/10.1108/EJMBE-02-2021-0057/full/pdf?utm_source=repec&utm_medium=feed&utm_campaign=repec
    Download Restriction: no

    File URL: https://libkey.io/10.1108/EJMBE-02-2021-0057?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    More about this item

    Keywords

    Momentum; Trading strategies; Short-term reversal; Jegadeesh and Titman 1993; Hospitality and tourism stocks; G10; G11; G12; G14; G40;
    All these keywords.

    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; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G40 - Financial Economics - - Behavioral Finance - - - General

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eme:ejmbep:ejmbe-02-2021-0057. See general information about how to correct material in RePEc.

    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.

    We have no bibliographic references for this item. You can help adding them by using 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 RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Emerald Support (email available below). General contact details of provider: .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.