Industries, Business Cycle and Profitability of Momentum Strategies: An International Perspective

Bacmann, Jean-Francois; Dubois, Michel; Isakov , Dušan

doi:10.2139/ssrn.264657

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Industries, Business Cycle and Profitability of Momentum Strategies: An International Perspective

31 Pages Posted: 24 Mar 2001

See all articles by Jean-Francois Bacmann

Michel Dubois

University of Neuchatel - Institute of Financial Analysis

Dušan Isakov

University of Fribourg (Switzerland) - Faculty of Management, Economics and Social Sciences

Date Written: January 2001

Abstract

The apparent predictability of stock prices and the related profitability of investment strategies based on it has generated a great deal of research. Since the late eighties, momentum strategies have attracted a lot of the attention and have been found to be very profitable mainly for US stock market (NYSE and AMEX). A few papers (notable exceptions are Rouwenhorst (1998) and Chan, Hameed and Tong (2000)) have investigated this issue from an international perspective. In line with the recent literature this paper documents the profitability of momentum strategies in countries from the G-7 and explores some conjectures about the links existing between the return of these strategies, the business cycle and industries.

JEL Classification: G11, G14, G15, E32

Suggested Citation: Suggested Citation

Bacmann, Jean-Francois and Dubois, Michel and Isakov, Dušan, Industries, Business Cycle and Profitability of Momentum Strategies: An International Perspective (January 2001). Available at SSRN: https://ssrn.com/abstract=264657 or http://dx.doi.org/10.2139/ssrn.264657