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PROFITABILITY OF CAPM MOMENTUM STRATEGIES IN THE US STOCK MARKET
International Journal of Business and Society
View Archive Info| Field | Value | |
| Title |
PROFITABILITY OF CAPM MOMENTUM STRATEGIES IN THE US STOCK MARKET
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| Creator |
Chong, Terence Tai-Leung
He, Qing Ip, Hugo Tak-Sang Siu, Jonathan T. |
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| Description |
This paper provides a historical review of the performance of the risk-adjusted momentum strategies when buying and selling stocks according to the alpha estimates of the CAPM and Fama–French regressions. Our sample covers over 60 million US daily firm-return observations. High Sharpe ratios are obtained under our risk-adjusted strategies. It is also found that stock market crashes have no apparent impact on our momentum profits. Keywords: Momentum Strategies; Sharpe Ratio; Fama-French Model; CAPM Model.
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| Publisher |
Faculty of Economics and Business, UNIMAS
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| Date |
2017-11-24
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| Type |
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion Peer-reviewed Article |
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| Format |
application/pdf
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| Identifier |
http://publisher.unimas.my/ojs/index.php/IJBS/article/view/545
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| Source |
International Journal of Business and Society; Vol 18 No 2 (2017): International Journal of Business and Society
1511-6670 |
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| Language |
eng
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| Relation |
http://publisher.unimas.my/ojs/index.php/IJBS/article/view/545/488
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| Rights |
Copyright (c) 2017 International Journal of Business and Society
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