Alpha Momentum and Price Momentum

1 Pages Posted: 2 Jul 2013 Last revised: 4 Aug 2018

See all articles by Hannah Hühn

Hannah Hühn

Assenagon Asset Management S.A.

Hendrik Scholz

Friedrich-Alexander-Universität Erlangen-Nürnberg

Date Written: 2013

Abstract

We analyze a novel alpha momentum strategy that invests in stocks based on three-factor alphas which we estimate using daily returns. The empirical analysis for the U.S. and for Europe shows that i) past alpha has power in predicting the cross-section of stock returns, ii) alpha momentum exhibits less dynamic factor exposures than price momentum and iii) alpha momentum dominates price momentum only in the U.S. Connecting both strategies to behavioral explanations, alpha momentum is more related to an underreaction to firm-specific news while price momentum is primarily driven by price overshooting due to momentum trading.

Keywords: Alpha momentum; price momentum; stock-specific return; price overshooting; slow information diffusion; reversal

JEL Classification: G11, G12, G14

Suggested Citation

Hühn, Hannah and Scholz, Hendrik, Alpha Momentum and Price Momentum (2013). International Journal of Financial Studies, 2018, Vol. 6 (2), 49. DOI: 10.3390/ijfs6020049. Available at SSRN: https://ssrn.com/abstract=2287848 or http://dx.doi.org/10.2139/ssrn.2287848

Hannah Hühn (Contact Author)

Assenagon Asset Management S.A. ( email )

Zweigniederlassung München – Prannerstraße 8
München, Deutschland 80333
Germany

Hendrik Scholz

Friedrich-Alexander-Universität Erlangen-Nürnberg ( email )

Lange Gasse 20
Lange Gasse 20,
Nürnberg, 90403
Germany

Register to save articles to
your library

Register

Paper statistics

Downloads
1,505
Abstract Views
6,587
rank
11,449
PlumX Metrics