Enduring Momentum

44 Pages Posted: 27 Apr 2022

See all articles by Hui Zeng

Hui Zeng

Massey University - Department of Economics and Finance

Ben R. Marshall

Massey University - School of Economics and Finance

Nhut H. Nguyen

Auckland University of Technology

Nuttawat Visaltanachoti

Massey University - Department of Economics and Finance

Date Written: April 13, 2022

Abstract

We use firm characteristics to estimate the enduring momentum probabilities for past winners (losers) to continue to be future winners (losers). The enduring momentum probability is significantly related to stock return persistence and explains cross-sectional expected returns. In addition, it contains different information from momentum signals. Combining the two pieces of information generates an enduring momentum strategy that produces a 2.19% return per month, almost doubling the momentum return. Factors that drive the price momentum strategy, such as seasonality, limit to arbitrage, and transaction costs, do not fully capture the performance of the enduring momentum strategy.

Keywords: Firm characteristics, enduring momentum probability, momentum

JEL Classification: C13, C31, C53, G17

Suggested Citation

Zeng, Hui and Marshall, Ben R. and Nguyen, Nhut H. and Visaltanachoti, Nuttawat, Enduring Momentum (April 13, 2022). Available at SSRN: https://ssrn.com/abstract=4082543 or http://dx.doi.org/10.2139/ssrn.4082543

Hui Zeng (Contact Author)

Massey University - Department of Economics and Finance ( email )

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Ben R. Marshall

Massey University - School of Economics and Finance ( email )

Private Bag 11-222
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New Zealand
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64 6 350 5651 (Fax)

Nhut H. Nguyen

Auckland University of Technology ( email )

55 Wellesley St East
Auckland, Auckland 1010
New Zealand
+64 9 921 9999 (Phone)

Nuttawat Visaltanachoti

Massey University - Department of Economics and Finance ( email )

School of Economics and Finance
Private Bag 102904, NSMC
Auckland
New Zealand
64 9 414 0800 (43169) (Phone)
64 9 441 8177 (Fax)

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