Asm: Stata Program to Construct J-K Overlapping Momentum Portfolios
10 Pages Posted: 5 Aug 2015 Last revised: 6 Apr 2016
Date Written: June 26, 2015
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
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