Momentum and turnover: evidence from the German stock market


Glaser, Markus ; Weber, Martin


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URL: https://ub-madoc.bib.uni-mannheim.de/32618
Additional URL: http://ssrn.com/abstract=315249
URN: urn:nbn:de:bsz:180-madoc-326188
Document Type: Working paper
Year of publication: 2002
Place of publication: Mannheim
Publication language: English
Institution: Business School > ABWL u. Finanzwirtschaft, insbes. Bankbetriebslehre (Weber -2017)
Subject: 330 Economics
Classification: JEL: G10 , G11 , G12,
Keywords (English): 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.

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Glaser, Markus ; Weber, Martin (2002) Momentum and turnover: evidence from the German stock market. Open Access Mannheim [Working paper]
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