Overlapping Momentum Portfolios

60 Pages Posted: 13 Dec 2022 Last revised: 30 May 2024

See all articles by Iván Blanco

Iván Blanco

CUNEF University

Miguel De Jesus

CUNEF University

Alvaro Remesal

CUNEF Universidad

Date Written: June 7, 2022


Different momentum investors use different formation periods to evaluate past stock performance. We explore the consequences of this diversity by studying the stocks that are the likely constituents of the portfolios of the heterogeneous momentum investors that coexist in practice. We show that stocks in the intersection of the 6 and 12-month momentum portfolios—"overlapping'' momentum stocks—display enhanced medium-term return momentum. This finding is robust to considering a broad set of risk factors, transaction costs, and alternative explanations. Focusing on overlapping momentum stocks improves the returns of several momentum-based strategies proposed in the literature. The results are in line with the concurrence of trades by heterogeneous momentum investors exacerbating return continuation.

Keywords: Momentum, Asset pricing, Market anomalies, Market efficiency

JEL Classification: G12, G14

Suggested Citation

Blanco, Iván and De Jesus, Miguel and Remesal, Alvaro, Overlapping Momentum Portfolios (June 7, 2022). Available at SSRN: https://ssrn.com/abstract=3553765 or http://dx.doi.org/10.2139/ssrn.3553765

Iván Blanco (Contact Author)

CUNEF University ( email )

C/ Leonardo Prieto Castro, 2
Madrid, Madrid 28040

HOME PAGE: http://cunef.edu/

Miguel De Jesus

CUNEF University ( email )

Calle de Leonardo Prieto Castro, 2
Madrid, Madrid 28040
914480892 (Phone)
914480892 (Fax)

HOME PAGE: http://sites.google.com/site/miguelkarlodejesus/

Alvaro Remesal

CUNEF Universidad ( email )

Calle de los Pirineos 55
Madrid, 28040

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Abstract Views
PlumX Metrics