Profitability of momentum returns under alternative approaches
Abstract
Purpose
The analysis aims to explore how momentum return changes with alternative computational methods and the extent to which the portfolio structure is important in the momentum context.
Design/methodology/approach
The focus reflected in the prior research emphasises the method used by Jegadeesh and Titman and various extensions to test whether momentum returns exist. This study uses alternative methods of buying previous Winners and short‐selling previous Losers to determine if this significantly changes the returns.
Findings
The current study clarifies the impact of several contributory factors that impact upon estimated momentum returns. The large sample of cleaned data upon which this study is based provides a higher degree of confidence that the findings are sound and not just a statistical anomaly.
Practical implications
The research is important from a practitioner perspective as details of momentum return are presented for each country using different methods, providing information regarding the most profitable country in which to invest and whether the momentum return is sustainable under different formative approaches.
Originality/value
One of the important contributions of this study is a detailed empirical analysis, presenting results in a global context rather than on a single country basis.
Keywords
Citation
Gupta, K., Locke, S. and Scrimgeour, F. (2013), "Profitability of momentum returns under alternative approaches", International Journal of Managerial Finance, Vol. 9 No. 3, pp. 219-246. https://doi.org/10.1108/IJMF-03-2012-0028
Publisher
:Emerald Group Publishing Limited
Copyright © 2013, Emerald Group Publishing Limited