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Profitability of Momentum Strategies Around the World

Kolobaric, Amanda LU and Khatabakhsh, Parisa LU (2011) NEKM03 20111
Department of Economics
Abstract (Swedish)
In this paper we investigate the international profitability of momentum strategies for a number of countries during the time period between 1995 and 2010. Positive abnormal returns were generated over 3 to 12 months by strategies buying the best past performance stocks and selling the worst past performance stocks. Although adjustments for risk-, size- and value factors didn’t result in any significant changes in the monthly excess returns, CAPM and Fama-French three factor model still couldn’t explain the source of these anomalies. Therefore, behavioral theories seem to be a possible explanation for the existence of these anomalies.
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author
Kolobaric, Amanda LU and Khatabakhsh, Parisa LU
supervisor
organization
course
NEKM03 20111
year
type
H1 - Master's Degree (One Year)
subject
keywords
Momentum, zero-cost strategy, international, anomalies, efficient market hypothesis
language
English
id
1975745
date added to LUP
2011-06-17 11:24:14
date last changed
2011-06-17 11:24:14
@misc{1975745,
  abstract     = {In this paper we investigate the international profitability of momentum strategies for a number of countries during the time period between 1995 and 2010. Positive abnormal returns were generated over 3 to 12 months by strategies buying the best past performance stocks and selling the worst past performance stocks. Although adjustments for risk-, size- and value factors didn’t result in any significant changes in the monthly excess returns, CAPM and Fama-French three factor model still couldn’t explain the source of these anomalies. Therefore, behavioral theories seem to be a possible explanation for the existence of these anomalies.},
  author       = {Kolobaric, Amanda and Khatabakhsh, Parisa},
  keyword      = {Momentum,zero-cost strategy,international,anomalies,efficient market hypothesis},
  language     = {eng},
  note         = {Student Paper},
  title        = {Profitability of Momentum Strategies Around the World},
  year         = {2011},
}