Momentum and Turnover: Evidence from the German Stock Market

Schmalenbach Business Review, Vol. 55, pp. 108-135, 2003

Posted: 6 Jun 2003 Last revised: 18 Apr 2011

See all articles by Markus Glaser

Markus Glaser

Ludwig Maximilian University of Munich (LMU) - Faculty of Business Administration (Munich School of Management)

Martin Weber

University of Mannheim - Department of Banking and Finance

Multiple version iconThere are 2 versions of this paper

Date Written: 2003

Abstract

This paper analyzes the relation between momentum strategies (strategies that buy stocks with high returns over the previous three to twelve months and sell stocks with low returns over the same period) and turnover (number of shares traded divided by the number of shares outstanding) for the German stock market. Our main finding is that momentum strategies are more profitable among high-turnover stocks. In contrast to U.S. evidence, this result is mainly driven by winners: high-turnover winners have higher returns than low-turnover winners. We present various robustness checks, long-horizon results, evidence on seasonality, and control for size-, book-to-market-, and industry-effects. We argue that our results are useful to empirically evaluate competing explanations for the momentum effect.

Keywords: Asset Pricing, Momentum, Momentum Strategies, Return Predictability, Turnover, Trading Volume

JEL Classification: G10, G11, G12

Suggested Citation

Glaser, Markus and Weber, Martin, Momentum and Turnover: Evidence from the German Stock Market (2003). Schmalenbach Business Review, Vol. 55, pp. 108-135, 2003, Available at SSRN: https://ssrn.com/abstract=406360

Markus Glaser (Contact Author)

Ludwig Maximilian University of Munich (LMU) - Faculty of Business Administration (Munich School of Management) ( email )

Schackstra├če 4
Munich, 80539
Germany

Martin Weber

University of Mannheim - Department of Banking and Finance ( email )

D-68131 Mannheim
Germany
+49 621 181 1532 (Phone)
+49 621 181 1534 (Fax)

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