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Momentum strategies of German mutual funds

  • Alexander Franck

    ()

  • Andreas Walter
  • Johannes Witt
Registered author(s):

    The existence of the momentum effect in stock returns has been documented for the US (e.g., Jegadeesh and Titman in J. Finance 48(1), 65–91, 1993 ) and many other national equity markets worldwide (e.g., Griffin et al. in J. Finance 58(6), 2515–2547, 2003 ). However, little is known about the active employment of momentum strategies among institutional investors outside the US. This paper provides first evidence of momentum behavior among German mutual funds. We find the fund trades to follow stock returns on an aggregated institutional level. Moreover, we detect significant momentum behavior among funds with a European and global equity focus, as well as among funds predominantly investing in Asia. In contrast, German funds do not seem to engage in momentum strategies when trading domestic stocks. While only half the funds in our sample trade in accordance with past returns, 66 % of the funds within the largest size quintile follow momentum strategies. Finally, we do not find momentum trading funds to outperform the other funds. Copyright Swiss Society for Financial Market Research 2013

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    File URL: http://hdl.handle.net/10.1007/s11408-013-0211-z
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    Article provided by Springer in its journal Financial Markets and Portfolio Management.

    Volume (Year): 27 (2013)
    Issue (Month): 3 (September)
    Pages: 307-332

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    Handle: RePEc:kap:fmktpm:v:27:y:2013:i:3:p:307-332
    Contact details of provider: Web page: http://www.springerlink.com/link.asp?id=119763

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