Momentum and Turnover: Evidence from the German Stock Market


Glaser, Markus ; Weber, Martin



URL: http://citeseerx.ist.psu.edu/viewdoc/download?doi=...
Document Type: Working paper
Year of publication: 2001
The title of a journal, publication series: GK Working Paper Series
Volume: 01-07
Place of publication: Mannheim
Publication language: English
Institution: School of Law and Economics > Graduiertenkolleg VWL/BWL
Subject: 330 Economics
Abstract: This paper analyses the relation between momentum strategies (strategies that buy stocks with high returns over the previous three 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 empirically evaluate competing explanations for the momentum effect.




Dieser Eintrag ist Teil der Universitätsbibliographie.




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