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Asm: Stata Program to Construct J-K Overlapping Momentum Portfolios

10 Pages Posted: 5 Aug 2015 Last revised: 6 Apr 2016

Attaullah Shah

Institute of Management Sciences

Date Written: June 26, 2015

Abstract

In this technical report, I show how to use asm – a Stata program to construct J-K overlapping momentum portfolios. Also, I outline details of the primary functions/ features of the program. The methods used in this program for constructing momentum portfolios are generally in line with Jegadesh and Titman (1993). However, the program offers additional features that were suggested/used in more recent papers. For example, (i) the program offers to calculate one-period as well as n-periods cumulative holding periods returns; (ii) construct portfolios on the basis of winners and losers stocks that can be defined using any deciles of their past returns; (iii) construct momentum portfolios using daily, weekly, or monthly frequencies; (iv) skip user’s specified n-periods between formation and holding periods to control for bid-ask spread or non-synchronous trading and (v) perform t-tests on the holding period returns.

Keywords: asm, Stata Porgram, J-K Momentum Portfolio, Buying Winners, Selling Losers

Suggested Citation

Shah, Attaullah, Asm: Stata Program to Construct J-K Overlapping Momentum Portfolios (June 26, 2015). Available at SSRN: https://ssrn.com/abstract=2623723 or http://dx.doi.org/10.2139/ssrn.2623723

Attaullah Shah (Contact Author)

Institute of Management Sciences ( email )

1-A, Sector E / 5, Phase – VII, Hayatabad, Peshawa
Peshawar, NWFP 25000
Pakistan
+923459146115 (Phone)

HOME PAGE: http://www.opendoors.pk

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