IDEAS home Printed from https://ideas.repec.org/p/hal/journl/hal-00860943.html
   My bibliography  Save this paper

Mesdames et Messieurs, momentum performance is not so abnormal after all!

Author

Listed:
  • Emilios C. C Galariotis

    (Audencia Recherche - Audencia Business School)

Abstract

This article provides evidence regarding the performance of momentum investment strategies that is consistent with the Neoclassical Theory. More specifically, while momentum investment returns appear orthogonal to systematic risk in the extant literature, this article illustrates that they are due to correlated changes of hedge portfolio systematic risk exposures with market conditions. Momentum portfolios are excellent market timers in both expanding and contracting markets. Their returns however are generally not abnormal when timing is considered in an augmented unconditional Capital Asset Pricing Model (CAPM), while the standard version erroneously considers them to be so, possibly explaining why momentum studies have so far rejected the Neoclassical Theory.

Suggested Citation

  • Emilios C. C Galariotis, 2013. "Mesdames et Messieurs, momentum performance is not so abnormal after all!," Post-Print hal-00860943, HAL.
    • Handle: RePEc:hal:journl:hal-00860943
    DOI: 10.1080/00036846.2012.730138
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    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:hal:journl:hal-00860943. 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: CCSD (email available below). General contact details of provider: https://hal.archives-ouvertes.fr/ .

    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.