Empirical Study on Price Momentum Strategy for Long, Short, and Long/Short Equity Portfolios: Optimal Rebalancing Period and Optimal Size

Journal of Wealth Management, Summer 2003

Posted: 10 Jul 2006

See all articles by Susana Yu

Susana Yu

State University in New York / Plattsburgh

Avner Wolf

Baruch College

Abstract

The authors start by observing that the optimal holding periods for long, short, and long/short equity portfolios must vary with transaction costs. The optimal holding period ranges from six to nine months, depending upon the type of portfolios being considered. Optimal efficiency occurs in portfolios containing between 20 and 80 securities, while efficiency is compromised in portfolios consisting of more than 100 stocks. They show that adjusted short and long/short equity portfolios' returns exhibit graphical patterns similar to the ones in the original short and long/short equity portfolios; however, these adjusted portfolio returns are amplified.

Keywords: Momentum Strategy

JEL Classification: G10

Suggested Citation

Yu, Susana and Wolf, Avner, Empirical Study on Price Momentum Strategy for Long, Short, and Long/Short Equity Portfolios: Optimal Rebalancing Period and Optimal Size. Journal of Wealth Management, Summer 2003, Available at SSRN: https://ssrn.com/abstract=912928

Susana Yu (Contact Author)

State University in New York / Plattsburgh ( email )

101 Broad Street
Plattsburgh, NY 12901
United States

Avner Wolf

Baruch College ( email )

One Bernard Baruch Way
New York, NY 10010
United States

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Abstract Views
1,517
PlumX Metrics