Abstract

http://ssrn.com/abstract=1694700
 
 

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Feasible Momentum Strategies in the US Stock Market


Manuel Ammann


University of St. Gallen - Swiss Institute of Banking and Finance

Marcel Moellenbeck


University of St. Gallen - Swiss Institute of Banking and Finance

Markus M. Schmid


University of St. Gallen - Swiss Institute of Banking and Finance; University of St. Gallen - SoF: School of Finance

November 17, 2010


Abstract:     
While there is a large literature documenting the profitability of momentum strategies, their implementation is afflicted with many difficulties. Most importantly, high turnover and costs to hold short positions, especially in small-cap stocks, result in high transaction costs. We restrict our investment universe to large-capitalized stocks included in the S&P 100 index. Moreover, we implement simple investment strategies that invest long in single stocks and short in the stock index. Such simple and cost-saving momentum strategies generate economically high and statistically significant abnormal returns. These results are robust to various risk-adjustments including the CAPM, the Fama French (1993) three-factor model, and a conditional version of the Fama and French (1993) three-factor model.

Number of Pages in PDF File: 23

Keywords: Momentum strategies, Large-cap stocks, Stock market predictability

JEL Classification: G11, G12

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Date posted: October 21, 2010 ; Last revised: May 29, 2013

Suggested Citation

Ammann, Manuel and Moellenbeck, Marcel and Schmid, Markus M., Feasible Momentum Strategies in the US Stock Market (November 17, 2010). Available at SSRN: http://ssrn.com/abstract=1694700 or http://dx.doi.org/10.2139/ssrn.1694700

Contact Information

Manuel Ammann
University of St. Gallen - Swiss Institute of Banking and Finance ( email )
Rosenbergstrasse 52
St. Gallen, CH-9000
Switzerland
Marcel Moellenbeck
University of Saint Gallen - Swiss Institute of Banking and Finance ( email )
Rosenbergstrasse 52
St. Gallen, CH-9000
Switzerland
Markus M. Schmid (Contact Author)
University of Saint Gallen - Swiss Institute of Banking and Finance ( email )
Rosenbergstrasse 52
St. Gallen, 9000
Switzerland
University of Saint Gallen - SoF: School of Finance ( email )
Rosenbergstrasse 52
St.Gallen, CH-9000
Switzerland

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