Faculté des sciences économiques et sociales

Industries, business cycle and profitability of momentum strategies : an international perspective

Bacmann, Jean-François ; Dubois, Michel ; Isakov, Dušan

In: EFMA 2001 Lugano Meetings, 2001, p. 1-31

The apparent predictability of stock prices and the related profitability of investment strategies based on it has generated a great deal of research. Since the late eighties, momentum strategies have attracted a lot of the attention and have been found to be very profitable mainly for US stock market (NYSE and AMEX). A few papers (notable exceptions are Rouwenhorst (1998) and Chan, Hameed and... Plus

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    Summary
    The apparent predictability of stock prices and the related profitability of investment strategies based on it has generated a great deal of research. Since the late eighties, momentum strategies have attracted a lot of the attention and have been found to be very profitable mainly for US stock market (NYSE and AMEX). A few papers (notable exceptions are Rouwenhorst (1998) and Chan, Hameed and Tong (2000)) have investigated this issue from an international perspective. In line with the recent literature this paper documents the profitability of momentum strategies in countries from the G-7 and explores some conjectures about the links existing between the return of these strategies, the business cycle and industries.