Are Momentum Strategies Profitable? Evidence from Singapore
45 Pages Posted: 1 Mar 2009
Date Written: February 27, 2009
We investigate the profitability of momentum investment strategies for equities listed on the Stock Exchange of Singapore (SGX-MAINBOARD), second board (SGX-SESDAQ) and a combined board. We also investigate the relationship between stock returns and past trading volume for equities listed in the Singapore stock exchange. We report significant momentum profits for the period investigated in this paper and document that momentum is a persistent feature of stock returns for all three boards. We also document that momentum portfolios earn returns as high as 14.1% per month on the secondary board, 13.29% on the combined board and 11.22% on the main board.
Keywords: Momentum, Turnover Ratio, Past Returns, Singapore, Multifactor
JEL Classification: G11, G12, G15
Suggested Citation: Suggested Citation