RT Journal Article
SR Electronic
T1 Profitability of Price Momentum Strategies
JF The Journal of Investing
FD Institutional Investor Journals
SP 55
OP 62
DO 10.3905/joi.2004.412307
VO 13
IS 2
A1 Paul Ryan
A1 Ingo Overmeyer
YR 2004
UL https://pm-research.com/content/13/2/55.abstract
AB Price momentum strategies on the DAX 100 are profitable and readily exploitable, even with realistic transaction costs, by institutional investors who tend to concentrate portfolio weights in large-capitalization stocks. This profitability is not explained by failure to adjust for systematic risk, delayed reaction to a common factor, or serial correlation in common factor realizations. The results are consistent with underreaction to firm- or industry-related news, and there is no evidence of price reversals in the three years following portfolio formation.