Sources of Momentum Profits: Evidence on the Irrelevance of Characteristics

• Published in: IDEAS Working Paper Series from RePEc
• Main Authors: Bandarchuk, Pavel, Hilscher, Jens
• Format: Paper
• Language: English
• Published: St. Louis Federal Reserve Bank of St. Louis 01.01.2011

Several recent studies document that sorting stocks first on certain stock-level characteristics and then on past returns results in elevated momentum profits. We show that such strategies enhance momentum profits simply by trading in stocks with more extreme past returns. Adjusted for this effect,...