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

See all articles by Emilios C. Galariotis

Emilios C. Galariotis

Audencia Business School ; Audencia Nantes School of Management

Date Written: June 10, 2010

Abstract

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

Galariotis, Emilios C., Momentum Investing Over the Last Twenty Years in France, its Persistence and the Effects of the Financial Crisis (June 10, 2010). Bankers, Markets & Investors, Forthcoming, Available at SSRN: https://ssrn.com/abstract=1764133

Emilios C. Galariotis (Contact Author)

Audencia Business School ( email )

8 Road Joneliere
BP 31222
Nantes Cedex 3, 44312
France

HOME PAGE: http://faculte-recherche.audencia.com/en/faculty/faculty-member-cvs/emilios-galariotis/

Audencia Nantes School of Management ( email )

France

HOME PAGE: http://faculte-recherche.audencia.com/en/faculty/faculty-member-cvs/emilios-galariotis/

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