EUR > Economics & Management > ERIM > View Article
http://hdl.handle.net/1765/22252

scopus: cited 1 time
web of science: cited 1 time

Residual Momentum


Article
volume 18, issue 3 pp 506-521.
This publication is part of collection
Related Files
asset icon
(ResidualMomentum-2011.pdf, 0.3MB)

(publisher's version.url.txt, 47 bytes)

Conventional momentum strategies exhibit substantial time-varying exposures to the Fama and French factors. We show that these exposures can be reduced by ranking stocks on residual stock returns instead of total returns. As a consequence, residual momentum earns risk-adjusted profits that are about twice as large as those associated with total return momentum; is more consistent over time; and less concentrated in the extremes of the cross-section of stocks. Our results are inconsistent with the notion that the momentum phenomenon can be attributed to a priced risk factor or market microstructure effects.



Keywords


Classifications using Journal of Economic Literature (JEL) Classification System
Automatically Extracted Terms
  • momentum
  • return
  • return momentum
  • stock
  • strategy
  • month
  • period
  • factor
  • market
  • momentum strategies
  • portfolio
  • result
  • table
  • manuscript
  • percent
  • exposure
  • momentum strategy
  • return momentum strategy
  • decile
  • period january 1930


Bookmark with: