Momentum Strategies and Financial Databases: An Investigation of Intraday Pattern in Price Momentum

31 Pages Posted: 22 Oct 2004 Last revised: 31 Mar 2017

See all articles by Bidisha Chakrabarty

Bidisha Chakrabarty

Saint Louis University - Richard A. Chaifetz School of Business

Charles Trzcinka

Indiana University - Kelley School of Business - Department of Finance

Date Written: 2003

Abstract

How do different databases define a firm? What are the rules for listing/de-listing firms across different databases? In this paper we show that the divergence in the criteria for listing/de-listing firms between the CRSP and TAQ databases is significant enough to impact the magnitude and direction of statistical profits of momentum portfolios. We show that while the standard momentum returns established in the literature can be replicated using CRSP data, TAQ data leads to entirely different results due to listing/de-listing discrepancies. We construct a two-stage filtering process to eliminate new/de-listing discrepancies between CRSP and TAQ to show a convergence in results. We then document that intra-day momentum profits exhibit an inverted U-shape. Given that intra-day stock prices follow a U-shape, we then show that an investor can "time" the market and enhance the profits of momentum portfolios if (s)he buys at noon prices and sells at the close.

Keywords: Momentum strategies, Financial Databases, Market Timing, CRSP, TAQ, Intraday Prices

JEL Classification: G11, G14

Suggested Citation

Chakrabarty, Bidisha and Trzcinka, Charles, Momentum Strategies and Financial Databases: An Investigation of Intraday Pattern in Price Momentum (2003). Available at SSRN: https://ssrn.com/abstract=607782 or http://dx.doi.org/10.2139/ssrn.607782

Bidisha Chakrabarty (Contact Author)

Saint Louis University - Richard A. Chaifetz School of Business ( email )

3674 Lindell Blvd
St. Louis, MO MO 63108-3397
United States
3149773607 (Phone)
3149771479 (Fax)

HOME PAGE: http://business.slu.edu/departments/finance/faculty-staff/bidisha-chakrabarty

Charles Trzcinka

Indiana University - Kelley School of Business - Department of Finance ( email )

Kelley School of Business
1309 E. 10th St.
Bloomington, IN 47405
United States
812-855-9908 (Phone)
812-855-5875 (Fax)

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