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
Date Written: May 31, 2019
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: Suggested Citation