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

Gupta, Kartick; Locke, Stuart; Scrimgeour, Frank

doi:10.1016/j.intfin.2010.06.002

Cited by 25 publications

(18 citation statements)

References 22 publications

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“…Specifically, consideration will be given to the approach adopted by Cooper et al (2004, hereafter CGH), which examines whether the profitability of momentum strategies differs depending on whether the market as a 1 For example, Rouwenhorst (1998) finds similar results to JT (1993) for 12 European countries over the period 1980 to 1995; Hart et al (2003) find similar results to JT in examining 32 emerging markets ;Griffin et al (2003) examine 40 markets including the US and find that macroeconomic risks do not explain findings; Galariotis et al (2007) find similar evidence for the UK stock market; Chui et al (2010) consider the role of cross cultural differences in momentum profits and find momentum profits in 37 of the 41 countries included in their sample; Gupta et al (2010) using data for 51 countries and including more than 51,000 stocks find momentum profits using the conventional momentum strategy and using industrial and 52-week high momentum strategies; and Badreddine et al (2012) find that while transactions costs are important, once these are taken into account even for (highly liquid) UK optioned stocks, momentum profits persist for some strategies.…”

Section: Introductionsupporting

confidence: 56%

Market states, expectations, sentiment and momentum: How naive are investors?

Galariotis

Holmes

Kallinterakis

et al. 2014

International Review of Financial Analysis

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Following Cooper et al (CGH) 2004 we test whether market states are relevant for predicting UK momentum profits. However, rather than simply categorising up/down markets based on actual prices as CGH, we suggest investors may view expectations and/or sentiment as important. Contrary to the findings for the US, we find that momentum returns are not related to CGH-defined market states. Similar findings hold for an expectations-based split. In contrast, for the whole sample period, construction and retail sentiment indicators explain differences in momentum profits. However, robustness tests suggest their explanatory power is driven by the post-subprime crisis period.JEL Classification: G1 (G10, G14)

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Section: Introductionsupporting

confidence: 56%

Market states, expectations, sentiment and momentum: How naive are investors?

Galariotis

Holmes

Kallinterakis

et al. 2014

International Review of Financial Analysis

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show abstract

“…Results of studies investigating these issues have been mixed. For example, while Lesmond et al (2004), argue that abnormal returns generated by momentum strategies do not exceed the trading costs and Ali and Trombley (2006) show that momentum profits are largely driven by short sales constraints, Korajczyk and Sadka (2004) find that transactions costs do not fully explain past winner stocks' return persistence and 1 See for example, Chordia and Shivakumar (2002), Titman (1993, 2001) and Avramov and Chordia (2006) for the USA; Liu et al (1999), Hon and Tonks (2003) and Galariotis et al (2007) for the UK and Rouwenhorst (1998), for 12 European countries, Hart et al (2003) for 32 emerging markets, Griffin et al (2003) for 40 countries in Africa, the Americas, Asia and Europe, Gupta et al (2010) for 51 countries including more than 51,000 stocks and Chui et al (2010) who examine cross cultural differences in momentum profits in 41 countries around the world and find evidence of positive momentum profits in all but 4 of the countries examined. Geczy et al (2002) find that short sales costs do not eliminate the large documented return of the loser portfolios.…”

Section: Introductionmentioning

confidence: 99%

The relevance of information and trading costs in explaining momentum profits: Evidence from optioned and non-optioned stocks

Badreddine

Galariotis

Holmes

2012

Journal of International Financial Markets, Institutions and Mo

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Copyright and moral rights to this thesis/research project are retained by the author and/or other copyright owners. The work is supplied on the understanding that any use for commercial gain is strictly forbidden. A copy may be downloaded for personal, non-commercial, research or study without prior permission and without charge. Any use of the thesis/research project for private study or research must be properly acknowledged with reference to the work's full bibliographic details.This thesis/research project may not be reproduced in any format or medium, or extensive quotations taken from it, or its content changed in any way, without first obtaining permission in writing from the copyright holder(s).If you believe that any material held in the repository infringes copyright law, please contact the Repository Team at Middlesex University via the following email address:eprints@mdx.ac.ukThe item will be removed from the repository while any claim is being investigated. 1The relevance of information and trading costs in explaining momentum profits: Evidence from optioned and non-optioned stocks Sina Badreddine Middlesex University Emilios C Galariotis Audencia Nantes School of Management, PRES UNAM Phil Holmes University of Leeds AbstractConsiderable evidence from many countries suggests momentum strategies generate profits. These have been difficult to rationalise and evidence on the sources of such profitability is inconclusive. We utilise a sample of optioned stocks, characterised by high liquidity, high market capitalisation and fewer short sales constraints and compare results with control samples of non optioned stocks chosen on the basis of market value, turnover and bid-ask spread. The sample characteristics, and the fact that derivatives improve the impounding of information into prices, enable us to draw conclusions about the causes of momentum profits.While we find that short sales constraints are not the major driver of profitability and that most momentum profits disappear using two transactions costs measures of the bid-ask spread, one not previously used, the persistence of some momentum profits indicates that the market underreacts even to the most publicly available information.JEL Classification: G1, G14

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“…Finally, supporting Grundy and Martin (2001), Giannikos and Ji also show that individual stock momentum and industry momentum are separate effects that do not subsume each other. Gupta, Locke, and Scrimgeour (2010) examine an industry momentum strategy based on nearness to the 52-week high (patterned after George and Hwang 2004 for individual stocks) and find that this specification does not perform as well as conventional industry momentum strategies wherein portfolios are formed based on past returns. Another variant of the 52-week high strategy based on how recently the 52-week high occurred, as developed by Bhootra and Hur (2013), has not been extended to industry momentum.…”

Section: Introductionmentioning

confidence: 99%

Industry Momentum in an Earlier Time: Evidence From the Cowles Data

Szakmary

Zhou

2015

J of Financial Research

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Virtually all evidence on the efficacy of momentum strategies arises from the post‐1962 era, and momentum returns across different markets and asset classes are highly positively correlated. We examine industry momentum in an earlier time and find that these strategies would have earned gross returns over the 1900–1925 period that are at least equal to those in the modern era; however, there is little evidence of profitability before 1900. The paucity of industry coverage in the earlier years of the Cowles database likely does not explain this differential profitability. We also show that the market state dependence of momentum strategies in the 1900–1925 period is similar to the modern era.

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

Cited by 25 publications

References 22 publications

Market states, expectations, sentiment and momentum: How naive are investors?

Market states, expectations, sentiment and momentum: How naive are investors?

The relevance of information and trading costs in explaining momentum profits: Evidence from optioned and non-optioned stocks

Industry Momentum in an Earlier Time: Evidence From the Cowles Data

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