Strong and Weak Momentum Components: Evidence From International Market Indices

9 Pages Posted: 26 Aug 2013 Last revised: 18 Aug 2014

See all articles by Graham N. Bornholt

Graham N. Bornholt

Griffith University

Mirela Malin

Griffith University - Department of Accounting, Finance and Economics

Date Written: August 26, 2013

Abstract

Simply splitting the traditional momentum portfolios into two components based on past long-term performance produces contrasting strategies. Early-stage momentum profits are larger than the traditional momentum strategy’s profits when applied to developed and emerging market indices. For emerging markets, recent winners that have poor long-term returns outperform recent losers with good long-term returns on an average annualized basis by 10.4 per cent per year. In contrast, recent winners outperform recent losers on an average annualized basis by only 6.1 per cent per year.

Keywords: early-stage, momentum effect, developed markets, emerging markets, indices

JEL Classification: G14, G15

Suggested Citation

Bornholt, Graham N. and Malin, Mirela D., Strong and Weak Momentum Components: Evidence From International Market Indices (August 26, 2013). Available at SSRN: https://ssrn.com/abstract=2315993 or http://dx.doi.org/10.2139/ssrn.2315993

Graham N. Bornholt (Contact Author)

Griffith University ( email )

Gold Coast Campus
Gold Coast QLD, 4222
Australia

Mirela D. Malin

Griffith University - Department of Accounting, Finance and Economics ( email )

Gold Coast Campus
Gold Coast, Queensland 4222
Australia
+61 7 5552 7719 (Phone)

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
280
Abstract Views
1,198
Rank
165,902
PlumX Metrics