Access the full text.
Sign up today, get DeepDyve free for 14 days.
Robert Korajczyk, Ronnie Sadka (2003)
Are Momentum Profits Robust to Trading Costs?Capital Markets: Market Microstructure
E. Fama, K. French (1993)
Common risk factors in the returns on stocks and bondsJournal of Financial Economics, 33
K. Rouwenhorst (1998)
Local Return Factors and Turnover in Emerging Stock MarketsCapital Markets eJournal
Gerald Jensen, Robert Johnson, Jeffrey Mercer (2002)
Tactical Asset Allocation and Commodity Futures, 28
D. Avramov, Russ Wermers (2005)
Investing in Mutual Funds When Returns are PredictableCapital Markets: Asset Pricing & Valuation eJournal
Harrison Hong, Terence Lim, J. Stein (1998)
Bad News Travels Slowly: Size, Analyst Coverage and the Profitability of Momentum StrategiesCapital Markets: Market Efficiency
L.K.C. Chan, N. Jegadeesh, J. Lakonishok
Momentum strategies
M. Binay (2005)
Performance Attribution of Us Institutional InvestorsFinancial Management
L. Chan, Josef Lakonishok (2004)
Value and Growth Investing: Review and UpdateFinancial Analysts Journal, 60
Clifford Asness (1997)
The Interaction of Value and Momentum StrategiesFinancial Analysts Journal, 53
J. Campbell
AMERICAN FINANCE ASSOCIATIONThe Journal of Finance
W. Sharpe (1964)
CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*Journal of Finance, 19
C.S. Asness, J.A. Friedman, R.J. Krail, J.M. Liew
Style timing: value versus growth
Tim Loughran, Todd Houge (2006)
Do Investors Capture the Value Premium?Capital Markets: Asset Pricing & Valuation eJournal
D. ArnottRobert (2005)
Disentangling Size and ValueFinancial Analysts Journal, 61
Clifford Asness, Jacques Friedman, Robert Krail, John Liew (2000)
Style Timing, 26
E. Fama, K. French (1996)
Multifactor Explanations of Asset Pricing AnomaliesJournal of Finance, 51
Narasimhan Jegadeesh, S. Titman (1993)
Returns to Buying Winners and Selling Losers: Implications for Stock Market EfficiencyJournal of Finance, 48
L. Chan, Jason Karceski, Josef Lakonishok (2000)
New Paradigm or Same Old Hype in Equity Investing?Financial Analysts Journal, 56
Marc Reinganum (1988)
The Anatomy of a Stock Market WinnerFinancial Analysts Journal, 44
K. Rouwenhorst (1997)
International Momentum StrategiesCapital Markets eJournal
M.M. Carhart
On persistence in mutual fund performance
R. Gerald, Jeffrey Mercer, Robert Johnson (1997)
New Evidence on Size and Price-to-Book Effects in Stock ReturnsFinancial Analysts Journal, 53
Jim Hsieh, Ralph Walkling (2002)
The History and Performance of Concept StocksS&P Global Market Intelligence Research Paper Series
L. Chan, Narasimhan Jegadeesh, Josef Lakonishok (1999)
The Profitability of Momentum StrategiesFinancial Analysts Journal, 55
J. Lintner (1965)
THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETSThe Review of Economics and Statistics, 47
Purpose – The purpose of this paper is to reexamine the value, momentum and size factors employed in the trading strategy originally proposed by Reinganum. Also to enhance our understanding of the impact of these factors over time; to evaluate the effectiveness of these factors; to develop new strategies through a framework presented by Chan et al. ; and to investigate the possibility of limiting the number of filters to allow for a larger universe of eligible stocks without hurting performance for both long and short strategies. Design/methodology/approach – Using data from 1970 to 1983, Reinganum developed a profitable trading strategy based on four (or nine) variables to select stocks. First this paper shows why it is increasingly difficult to implement his original trading strategy, then tests his strategy on 23 additional years of data through 2006, and compares it to similar strategies that incorporate straightforward modifications to his filters. The analysis is further extended to a long/short trading strategy similar to that of Chan et al. Findings – Using the Capital Asset Pricing Model, Fama‐French's three‐factor model and Carhart's four‐factor model to evaluate returns following portfolio formation, significant and consistent alphas and portfolio sizes were found. Research limitations/implications – It is concluded that strategies that mix value, momentum and size filter rules can be developed to produce consistently negative or non‐positive (vs solely positive) alphas. Originality/value – The paper shows that it is possible to form profitable short‐only and long/short strategies and to increase the number of eligible stocks in the sample despite our modifications to Reinganum's variables. By creating strategies based on mixed filter rules to produce either consistently positive (or negative) risk‐adjusted returns, it can be concluded that slightly different versions of a given filter rule – often much simpler versions – not only enhance return performance but also increase its effectiveness in terms of portfolio size.
Managerial Finance – Emerald Publishing
Published: Mar 13, 2009
Keywords: Market economy; Market forces; Market yield; Marketing strategy; Portfolio management
Read and print from thousands of top scholarly journals.
Already have an account? Log in
Bookmark this article. You can see your Bookmarks on your DeepDyve Library.
To save an article, log in first, or sign up for a DeepDyve account if you don’t already have one.
Copy and paste the desired citation format or use the link below to download a file formatted for EndNote
Access the full text.
Sign up today, get DeepDyve free for 14 days.
All DeepDyve websites use cookies to improve your online experience. They were placed on your computer when you launched this website. You can change your cookie settings through your browser.