The vanishing abnormal returns of momentum strategies and ‘front-running’ momentum strategiesJournal of Accounting and Finance
Date of this Version1-1-2012
Document TypeJournal Article
AbstractWe 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 InformationJulia 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/