Momentum Investing Over the Last Twenty Years in France, its Persistence and the Effects of the Financial Crisis
Bankers, Markets & Investors, Forthcoming
15 Pages Posted: 21 Feb 2011
Date Written: June 10, 2010
The paper investigates momentum investment strategies for the French Security Market during the most recent twenty years. The aims are to test whether such strategies perform persistently, i.e. they remain profitable today consistent with earlier literature, and if so, whether they are abnormal and if there has been an effect from the recent global financial crisis that has different characteristics compared to other crises in the sample. Sixteen trading strategies are investigated ranging from three to twelve months, and results show that momentum returns appear to be significant on a risk adjusted basis (both univariate and multivariate), and that momentum portfolios on average provide a good hedge for market risk. Nonetheless, considering the financial crisis, momentum profitability disappears or is even reversed (at which time it pays off to be a contrarian investor), showing a risk not captured by traditional asset pricing models.
Keywords: Momentum, French Security Exchange, Financial Crisis
JEL Classification: G1 (G10, G11)
Suggested Citation: Suggested Citation