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Momentum is Really Momentum: US and International Evidence

Time:2014-07-03 Clicks:

Lecturer:Professor Liu Qianqiu  Shidler College of Business, University of Hawaii at Manoa,Special-term Professor of CEMFS

Presider:Professor Patrick McCarthy


We demonstrate the estimation biases that arise when stock returns from the same calendar month one year prior and from the previous month 2 are included within intermediate and recent past momentum profits. These biases lead to an overestimation of intermediate past momentum but an underestimation of recent past momentum in the US market. There is no significant difference between the predictability of stock performance in the intermediate past and the recent past once we exclude these two months from the construction of momentum strategies in the US and each of the 26 major international markets.  (JEL G12, G15)