Industries, business cycle and profitability of momentum strategies : an international perspective
- Bacmann, Jean-François Université de Neuchâtel, Neuchâtel, Suisse
- Dubois, Michel Université de Neuchâtel, Neuchâtel, Suisse
- Isakov, Dušan HEC-Université de Genève and International Center FAME
-
2001
Published in:
- EFMA 2001 Lugano Meetings. - 2001, p. 1-31
English
The apparent predictability of stock prices and the related profitability of investment strategies based on it has generated a great deal of research. Since the late eighties, momentum strategies have attracted a lot of the attention and have been found to be very profitable mainly for US stock market (NYSE and AMEX). A few papers (notable exceptions are Rouwenhorst (1998) and Chan, Hameed and Tong (2000)) have investigated this issue from an international perspective. In line with the recent literature this paper documents the profitability of momentum strategies in countries from the G-7 and explores some conjectures about the links existing between the return of these strategies, the business cycle and industries.
- Faculty
- Faculté des sciences économiques et sociales et du management
- Department
- Département de gestion
- Language
-
- English
- Classification
- Economics
- License
- License undefined
- Identifiers
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- RERO DOC 12303
- DOI 10.2139/ssrn.264657
- Persistent URL
- https://folia.unifr.ch/unifr/documents/301271
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