Residual Momentum

60 Pages Posted: 4 Sep 2013  

David Blitz

Robeco Asset Management - Quantitative Strategies

Joop Huij

Erasmus University - Rotterdam School of Management; Robeco Quantitative Strategies; Erasmus University Rotterdam (EUR) - Erasmus Research Institute of Management (ERIM)

Martin Martens

Erasmus University Rotterdam (EUR); Robeco Asset Management

Multiple version iconThere are 2 versions of this paper

Date Written: August 1, 2009

Abstract

In this paper we examine a momentum strategy based on residual stock returns. We find that residual momentum exhibits risk-adjusted profits that are about twice as large as those associated with total return momentum. Moreover, we find that the main arguments that have been put forward in the academic literature to rationalize momentum are unsuccessful in explaining residual momentum. Our results have important implications for the theoretical debate on market efficiency as well as the practical implementation of momentum trading strategies.

Keywords: momentum, time-varying risk, stock-specific returns, residual returns

JEL Classification: G11, G12, G14

Suggested Citation

Blitz, David and Huij, Joop and Martens, Martin, Residual Momentum (August 1, 2009). Available at SSRN: https://ssrn.com/abstract=2319861 or http://dx.doi.org/10.2139/ssrn.2319861

David Blitz

Robeco Asset Management - Quantitative Strategies ( email )

Weena 850
Rotterdam, 3014 DA
Netherlands

Joop Huij (Contact Author)

Erasmus University Rotterdam (EUR) - Erasmus Research Institute of Management (ERIM)

P.O. Box 1738
Rotterdam, 3000 DR
Netherlands

Erasmus University - Rotterdam School of Management ( email )

P.O. Box 1738
Rotterdam, 3000 DR
Netherlands

HOME PAGE: http://www.rsm.nl/jhuij

Robeco Quantitative Strategies

Rotterdam, 3011 AG
Netherlands

HOME PAGE: http://www.robeco.com/quant

Martin P.E. Martens

Erasmus University Rotterdam (EUR) ( email )

P.O. Box 1738
3000 DR Rotterdam
Netherlands
+31 10 408 1253 (Phone)
+31 10 408 9162 (Fax)

Robeco Asset Management ( email )

Rotterdam, 3011 AG
Netherlands

Paper statistics

Downloads
1,556
Rank
8,545
Abstract Views
4,690