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Momentum? What momentum?
Theissen, Erik
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Yilanci, Can
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Dokumenttyp:
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Präsentation auf Konferenz
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Erscheinungsjahr:
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2021
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Veranstaltungstitel:
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23rd Annual Meeting of the Swiss Society for Financial Market Research (SGF virtual conference)
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Veranstaltungsort:
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Online
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Veranstaltungsdatum:
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25.-26.03.2021
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Sprache der Veröffentlichung:
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Englisch
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Einrichtung:
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Fakultät für Betriebswirtschaftslehre > ABWL u. Finanzierung (Theissen 2009-)
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Fachgebiet:
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330 Wirtschaft
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Abstract:
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Risk-adjusted momentum returns are usually estimated by constructing momentum portfolios and then running a full-sample regression of their returns on a set of factors (portfolio-level risk adjustment). This approach implicitly assumes constant factor exposure of the momentum portfolio. However, momentum portfolios are characterized by strong turnover and time-varying factor exposure. We propose to estimate the risk exposure at the stock-level. The risk-adjusted return of the momentum portfolio in month t then is the actual return minus the weighted average of the expected returns of the component stocks (stock-level risk adjustment). Based on evidence from the universe of CRSP stocks, from sub-periods and size-based sub-samples, from volatility-scaled momentum strategies (Barroso and Santa-Clara 2015) and from an international sample covering 22 developed countries we conclude that the momentum effect may be much weaker than previously thought.
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