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The Disappearance of Momentum

European Journal of Finance, Forthcoming

39 Pages Posted: 5 Mar 2007 Last revised: 24 Oct 2014

Soosung Hwang

Sungkyunkwan University - Department of Economics

Alexandre Rubesam

IESEG School of Management

Date Written: November 1, 2013

Abstract

We investigate the dynamics of the momentum premium in the US. The momentum premium is significantly positive only during certain periods, notably from the 1940s to the mid-1960s and from the mid-1970s to the late 1990s, and it has disappeared since the late 1990s. Our results further suggest that momentum profits have slowly disappeared since the early 1990s, in a process which was delayed by the occurrence of the high-tech and telecom stock bubble of the late 1990s. In particular, we estimate that the bubble accounted for at least 50% of momentum profits during the period from 1994 to 2000.

Keywords: Momentum premium, Arbitrage, High-tech and Telecom Bubble

JEL Classification: G12

Suggested Citation

Hwang, Soosung and Rubesam, Alexandre, The Disappearance of Momentum (November 1, 2013). European Journal of Finance, Forthcoming. Available at SSRN: https://ssrn.com/abstract=968176 or http://dx.doi.org/10.2139/ssrn.968176

Soosung Hwang

Sungkyunkwan University - Department of Economics ( email )

25-2 Sungkyunkwan-ro
Jongno-Gu
110-745 Seoul
+82 (0)2 760 0489 (Phone)
+82 (0)2 744 5717 (Fax)

Alexandre Rubesam (Contact Author)

IESEG School of Management ( email )

Socle de la Grande Arche
1 Parvis de la Defense
Puteaux, Paris 92800
France

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