asset pricing , momentum strategies , return predictability and turnover
Abstract:
This Paper analyses the relationship between momentum strategies
(strategies that buy stocks with high returns over the previous 3 to 12 months
and sell stocks with low returns over the same period) and turnover (number
of shares traded divided by the number of shares outstanding) for the German
stock market. Our main finding is that momentum strategies are more
profitable among high-turnover stocks. In contrast to US evidence, this result
is driven mainly by winners: high-turnover winners have higher returns than
low-turnover winners. We present various robustness checks, long-horizon
results, evidence on seasonality, and control for size-, book-to-market-, and
industry-effects. We argue that our results are useful to evaluate empirically
competing explanations for the momentum effect.
Dieser Eintrag ist Teil der Universitätsbibliographie.
Das Dokument wird vom Publikationsserver der Universitätsbibliothek Mannheim bereitgestellt.
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