FAANG Stocks

40 Pages Posted: 11 Oct 2021 Last revised: 15 Oct 2021

See all articles by Roger Loh

Roger Loh

Singapore Management University - Lee Kong Chian School of Business

Date Written: October 15, 2021

Abstract

A portfolio of FAANG stocks does not show remarkable outperformance after the acronym was coined. Monthly returns attenuate by more than half after controlling for common factor exposures using traditional or modern asset-pricing models. Alphas in the post-acronym period are not always statistically significant. Pre-acronym alphas are in contrast strong and robust. FAANG-sector stocks comove more with a FAANG portfolio in the post-acronym period. But sorting stocks on their FAANG beta does not earn a reliable return spread. These results might be consistent with investors over-extrapolating the success of hot investing themes, and abnormal profits become less remarkable after popularization.

Keywords: FANG stocks; FAANG stocks; Extrapolative beliefs; Comovement

JEL Classification: G12, G14

Suggested Citation

Loh, Roger, FAANG Stocks (October 15, 2021). Available at SSRN: https://ssrn.com/abstract=3938244 or http://dx.doi.org/10.2139/ssrn.3938244

Roger Loh (Contact Author)

Singapore Management University - Lee Kong Chian School of Business ( email )

Lee Kong Chian School of Business
50 Stamford Rd
Singapore, 178899
Singapore

HOME PAGE: http://www.mysmu.edu/faculty/rogerloh/

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