Momentum Strategies

Momentum Strategies

by Daniel Rotzer


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This thesis investigates price momentum of sector and region indices on the MSCI basis from January 1985 for sectors and January 1970 for re-gions to January 2008 relative to the MSCI World benchmark. It is shown that return continuation can be found for "winner" indices whereas "loser" indices exhibit a return reversal. Winner indices systematically outperform loser indices. The evaluated momentum strategies generate abnormal profits in the overall sample but also in different market environments. Re- turns are correlated with the market environment. A diversified index port-folio does not achieve a better risk-adjusted performance than a single index investment. In the CAPM and Fama-French framework, these mo-mentum profits can not be explained - a statistically significant positive alpha remains. Macroeconomic lagged factors can partly explain momen-tum profits but remain undetermined.

Product Details

ISBN-13: 9783639204919
Publisher: VDM Verlag
Publication date: 10/23/2009
Pages: 96
Product dimensions: 0.23(w) x 9.00(h) x 6.00(d)

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