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Article
The vanishing abnormal returns of momentum strategies and ‘front-running’ momentum strategies
Journal of Accounting and Finance
  • Julia Henker, Bond University
  • Thomas Henker, Bond University
  • Robert Huynh, University of New South Wales
  • Martin Martens, Erasmus University
Date of this Version
1-1-2012
Document Type
Journal Article
Publication Details

Published version

Henker, J., Henker, T., Huynh, R., & Martens, M. (2012). The vanishing abnormal returns of momentum strategies and ‘front-running’ momentum strategies. Journal of Accounting and Finance, 12(4), 86-100. ISSN: 2158-3625

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2012 HERDC submission. FoR code: 150201

© Copyright North American Business Press, 2012

Disciplines
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.
Citation Information
Julia Henker, Thomas Henker, Robert Huynh and Martin Martens. "The vanishing abnormal returns of momentum strategies and ‘front-running’ momentum strategies" Journal of Accounting and Finance Vol. 12 Iss. 4 (2012) p. 86 - 100 ISSN: 2158-3625
Available at: http://works.bepress.com/julia_henker/1/