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Residual Momentum and Reversal Strategies Revisited

16 Pages Posted: 9 Mar 2017  

Joop Huij

Erasmus University - Rotterdam School of Management; Robeco Quantitative Strategies; Erasmus University Rotterdam (EUR) - Erasmus Research Institute of Management (ERIM)

Simon Lansdorp

Robeco Quantitative Strategies; Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE); Tinbergen Institute

Date Written: March 8, 2017

Abstract

In this note we revisit the 2011 and 2013 papers of Blitz, Huij, and Martens (BHM2011), and Blitz, Huij, Lansdorp, and Verbeek (BHLV2013) in which momentum and reversal strategies on residual returns are proposed. Our results indicate that the main findings of these studies, that residual momentum and reversal strategies exhibit significantly lower time-varying exposures to the Fama-French factors than conventional momentum and reversal strategies and consequently have significantly higher return-to-risk ratios, are robust across different global stock universes and out-of-sample periods after the publication of the first results.

Keywords: residual momentum, residual reversal, factor investing

JEL Classification: G11, G12, G14

Suggested Citation

Huij, Joop and Lansdorp, Simon, Residual Momentum and Reversal Strategies Revisited (March 8, 2017). Available at SSRN: https://ssrn.com/abstract=2929306 or http://dx.doi.org/10.2139/ssrn.2929306

Joop Huij (Contact Author)

Erasmus University Rotterdam (EUR) - Erasmus Research Institute of Management (ERIM)

P.O. Box 1738
Rotterdam, 3000 DR
Netherlands

Erasmus University - Rotterdam School of Management ( email )

P.O. Box 1738
Rotterdam, 3000 DR
Netherlands

HOME PAGE: http://www.rsm.nl/jhuij

Robeco Quantitative Strategies

Rotterdam, 3011 AG
Netherlands

HOME PAGE: http://www.robeco.com/quant

Simon Lansdorp

Robeco Quantitative Strategies ( email )

Rotterdam, 3011 AG
Netherlands

Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) ( email )

P.O. Box 1738
3000 DR Rotterdam, NL 3062 PA
Netherlands

Tinbergen Institute ( email )

P.O. Box 1738
3000 DR Rotterdam
Netherlands

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