Mesdames Et Messieurs, Momentum Performance is Not so Abnormal after All!

Posted: 21 Jan 2016

See all articles by Emilios C. Galariotis

Emilios C. Galariotis

Audencia Business School ; Audencia Nantes School of Management

Date Written: 2013


This paper provides evidence regarding the performance of momentum investment strategies that is consistent with neoclassical theory. More specifically, while momentum investment returns appear orthogonal to systematic risk in the extant literature, this paper illustrates that they due to correlated changes of hedge portfolio systematic risk exposures with market conditions. Momentum portfolios act as near-perfect market timers, offering hedging opportunities in expanding markets and increased returns in contracting markets. These returns however are generally not abnormal when timing is considered in an augmented unconditional CAPM, while the standard version erroneously considers them to be so, possibly explaining why momentum studies have so far rejected the Neoclassical Theory.

Keywords: Momentum Investment, Risk Variation, Market Fluctuations, Dummy Variables, French Security Exchange

JEL Classification: E3, E4, G1

Suggested Citation

Galariotis, Emilios C., Mesdames Et Messieurs, Momentum Performance is Not so Abnormal after All! (2013). Applied Economics, Vol. 45, No. 27, 2013, Available at SSRN:

Emilios C. Galariotis (Contact Author)

Audencia Business School ( email )

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Nantes Cedex 3, 44312


Audencia Nantes School of Management ( email )



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