The vanishing abnormal returns of momentum strategies and 'front-running' momentum strategies

Julia Henker, Thomas Henker, Robert Huynh, Martin Martens

Research output: Contribution to journalArticleResearchpeer-review

Abstract

We find variations in returns from momentum strategies. Unlike most studies, we form portfolios one week prior to the end of month, called 'front-running' momentum portfolios. As expected, due to the effects of institutional momentum trading, our 'front-running' portfolios generate returns of similar magnitude but lower volatility than month-end strategies. We also show that the previously documented large-firm momentum effect is sensitive to the strategy examined, and is attributable to the abnormal returns of large NASDAQ stocks. Moreover, momentum strategies did not earn significant returns during our sample period, an indication that momentum is not an unambiguously persistent anomaly.
Original languageEnglish
Pages (from-to)86-100
Number of pages15
JournalJournal of Accounting & Finance (2158-3625)
Volume12
Issue number4
Publication statusPublished - 1 Oct 2012

    Fingerprint

Cite this