Abstract

https://ssrn.com/abstract=492804
 
 

References (21)



 
 

Citations (16)



 


 



Global Momentum Strategies: A Portfolio Perspective


John M. Griffin


University of Texas at Austin - Department of Finance

Susan Ji


College of Business, Governors State University

J. Spencer Martin


University of Melbourne - Faculty of Business and Economics; Financial Research Network (FIRN)

July 15, 2004


Abstract:     
We provide practical perspectives on momentum investing in stocks internationally. First, momentum is generally more profitable on the long side than on the short side, making it accessible to a broad range of institutional capital. Second, both price and earnings momentum profits are significant globally. Third, internationally, earnings momentum is distinct from price momentum, and using price and earnings momentum in conjunction produces larger economic profits. Fourth, momentum profits have weaker co-movements across markets than market indices. Interestingly, while market correlations are much higher in down markets than in up markets, momentum correlations are low in both market conditions. Fifth, momentum strategies do not differ appreciably in profitability between up and down markets, which means timing is less important to momentum traders. Finally, momentum strategies are not riskless-historically there have often occurred periods of several months where they have netted low or negative returns. Altogether, these findings suggest that momentum is useful in international portfolio management, but its implementation should be thoughtfully considered.

Number of Pages in PDF File: 34

Keywords: Momentum, Portfolio Management

JEL Classification: G12, G14, G15


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Date posted: February 4, 2004  

Suggested Citation

Griffin, John M. and Ji, Susan and Martin, J. Spencer, Global Momentum Strategies: A Portfolio Perspective (July 15, 2004). Available at SSRN: https://ssrn.com/abstract=492804 or http://dx.doi.org/10.2139/ssrn.492804

Contact Information

John M. Griffin (Contact Author)
University of Texas at Austin - Department of Finance ( email )
Red McCombs School of Business
Austin, TX 78712
United States
512-471-6621 (Phone)
HOME PAGE: http://www.jgriffin.info

Susan Ji
College of Business, Governors State University ( email )
1 University Parkway
University Park, IL 60484
United States
J. Spencer Martin
University of Melbourne - Faculty of Business and Economics ( email )
Faculty of Economics and Commerce
Parkville, Victoria 3010 3010
Australia
Financial Research Network (FIRN)
C/- University of Queensland Business School
St Lucia, 4071 Brisbane
Queensland
Australia
HOME PAGE: http://www.firn.org.au

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