Are Momentum Strategies Profitable? Recent Evidence from European Markets

Behavioral Finance Laboratory, AUEB, Working Paper Series, BeFin Lab, WP 06-19.

93 Pages Posted: 14 Jun 2019

See all articles by Anastasia Slabchenko

Anastasia Slabchenko

Athens University of Economics and Business

Date Written: May 31, 2019

Abstract

This paper examines the profitability of momentum strategies for a sample of Core and Peripheral European equity markets. More specifically, a large number of strategies with different combinations of ranking and holding periods are empirically evaluated for the period between December 1989 to January 2018 for the UK, Germany, French, Sweden, the Netherlands, Italy, Spain, Greece, and Portugal. The results indicate that both the profitability and the optimal combination of ranking and holding periods of momentum strategies vary across markets.

Keywords: Momentum Strategies, European Markets, Optimal Combination

JEL Classification: G4, G11, G12

Suggested Citation

Slabchenko, Anastasia, Are Momentum Strategies Profitable? Recent Evidence from European Markets (May 31, 2019). Behavioral Finance Laboratory, AUEB, Working Paper Series, BeFin Lab, WP 06-19.. Available at SSRN: https://ssrn.com/abstract=3397011 or http://dx.doi.org/10.2139/ssrn.3397011

Anastasia Slabchenko (Contact Author)

Athens University of Economics and Business ( email )

76 Patission Street
Athens, 104 34
Greece

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