کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
958820 | 929079 | 2011 | 16 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Residual momentum
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موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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چکیده انگلیسی
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.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Empirical Finance - Volume 18, Issue 3, June 2011, Pages 506–521
Journal: Journal of Empirical Finance - Volume 18, Issue 3, June 2011, Pages 506–521
نویسندگان
David Blitz, Joop Huij, Martin Martens,