Abstract

https://ssrn.com/abstract=2472936
 


 



Combining Value and Momentum


Gregg S. Fisher


Gerstein Fisher

Ronnie Shah


Gerstein Fisher; University of Texas at Austin - Department of Finance

Sheridan Titman


University of Texas at Austin - Department of Finance; National Bureau of Economic Research (NBER)

March 23, 2015

Journal of Investment Management, Forthcoming

Abstract:     
This paper considers several popular portfolio implementation techniques that maximize exposure to value and/or momentum stocks while taking into account transaction costs. Our analysis of long-only strategies illustrates how a strategy that simultaneously incorporates both value and momentum outperforms a strategy that combines pure-play value and momentum portfolios that are formed independently. There are two advantages of the simultaneous strategy. The first is the reduction in transaction costs; the second is better utilization of unfavorable value and momentum information in a long-only portfolio. Our analysis also addresses the optimal way to combine the faster-moving momentum signal with the slower-moving value signal.

Number of Pages in PDF File: 25

Keywords: Value, Momentum, Portfolio Construction, Transaction Costs

JEL Classification: G11, G12


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Date posted: July 30, 2014 ; Last revised: April 5, 2016

Suggested Citation

Fisher, Gregg S. and Shah, Ronnie and Titman, Sheridan, Combining Value and Momentum (March 23, 2015). Journal of Investment Management, Forthcoming. Available at SSRN: https://ssrn.com/abstract=2472936 or http://dx.doi.org/10.2139/ssrn.2472936

Contact Information

Gregg S. Fisher
Gerstein Fisher ( email )
565 Fifth Avenue
27th Floor
New York, NY 10017
United States
212-968-0707 (Phone)
HOME PAGE: http://www.gersteinfisher.com
Ronnie Shah (Contact Author)
Gerstein Fisher ( email )
565 Fifth Avenue
27th Floor
New York, NY 10017
United States
212-968-0707 (Phone)
HOME PAGE: www.gersteinfisher.com
University of Texas at Austin - Department of Finance ( email )
Red McCombs School of Business
Austin, TX 78712
United States

Sheridan Titman
University of Texas at Austin - Department of Finance ( email )
Red McCombs School of Business
Austin, TX 78712
United States
512-232-2787 (Phone)
512-471-5073 (Fax)

National Bureau of Economic Research (NBER)
1050 Massachusetts Avenue
Cambridge, MA 02138
United States
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