Browsing by Author "Spina, Francesco"
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- Catch the Moment(um) : more evidence of market inefficiencyPublication . Spina, Francesco; Faias, José Afonso de Carvalho TavaresI implement the 52-week high momentum strategy GH (George and Hwang, 2004) in international stock markets by Liu et al. (2011) with an extended sample of multiple countries. I find that the strategy yields positive momentum profits in 17 of the 18 markets studied, of which 12 are statistically significant. I examine the existence of the 52-week high momentum strategy profits independently from the traditional Jegadeesh and Titman JT (1993) momentum and vice versa. The results show that both strategies still generate profits conditional to the other. This and all other results confirm the findings of Liu et al. (2011). Moreover, I analyse the persistence of “winner” and “loser” portfolios for the 52-week high investing. I find these characteristics to be persistent over time. Also, I propose two novel self-financing strategies: one consists in a “combo” strategy between GH and JT momentum strategies exploiting the finding of independency, and the other is a new investment strategy by running momentum a second time on momentum strategies of all countries aiming diversification. The former strategy produces an average Sharpe Ratio of 0.84 among all countries, resulting in the best performing strategy of this research. The latter instead yields a Sharpe Ratio of 0.52, showing that the positive effect driven from the diversification is weaker than the reduction in average return.