Abstract

http://ssrn.com/abstract=1928764
 
 

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Momentum Loses its Momentum: Implications for Market Efficiency


Debarati Bhattacharya


Virginia Polytechnic Institute & State University - Department of Finance, Insurance, and Business Law

Raman Kumar


Virginia Polytechnic Institute & State University - Pamplin College of Business

Gokhan Sonaer


Duquesne University

November 7, 2012

Midwest Finance Association 2012 Annual Meetings Paper

Abstract:     
We evaluate the robustness of momentum returns in the US stock market over the period 1965 to 2010. We find that momentum profits have become insignificant since the late 1990s partially driven by pronounced increase in the volatility of momentum profits in the last 12 years. Past returns no longer explain the cross-sectional variation in stock returns, not even following up markets. The patterns in the post holding period returns of momentum portfolios and risk adjusted identification period buy and hold returns of stocks in momentum supports improvement in market efficiency as a possible explanation for the declining momentum profits.

Number of Pages in PDF File: 50

Keywords: Momentum, Market Efficiency

JEL Classification: G10, G14


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Date posted: January 16, 2015  

Suggested Citation

Bhattacharya, Debarati and Kumar, Raman and Sonaer, Gokhan, Momentum Loses its Momentum: Implications for Market Efficiency (November 7, 2012). Midwest Finance Association 2012 Annual Meetings Paper. Available at SSRN: http://ssrn.com/abstract=1928764 or http://dx.doi.org/10.2139/ssrn.1928764

Contact Information

Debarati Bhattacharya
Virginia Polytechnic Institute & State University - Department of Finance, Insurance, and Business Law ( email )
1016 Pamplin Hall (0221)
Blacksburg, VA 24060-0221
United States
Raman Kumar
Virginia Polytechnic Institute & State University - Pamplin College of Business ( email )
Dept. of Finance, Pamplin 2126
Blacksburg, VA 24061
United States
540-231-5700 (Phone)
540-231-3155 (Fax)
Gokhan Sonaer (Contact Author)
Duquesne University ( email )
600 Forbes Avenue
Pittsburgh, PA 15282
United States
4123964315 (Phone)
4123964764 (Fax)
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