The Effect of Ex Ante Price on Momentum Profits  

Oleh:

Onayev, Zhan ; Savickas, Robert

Jenis: Article from Bulletin/Magazine
Dalam koleksi: The Journal of Behavioral Finance vol. 5 no. 1 (2004), page 8-22.
Fulltext: JJ137_2004_05-01_Onayev.pdf (125.78KB)

Ketersediaan

Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ137 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

We find a strong effect of component stock prices (as of one year before the re turns–ranking period) on the magnitude and duration of momentum. Relative strength portfolios formed of high–priced stocks earn statistically significant momentum profits for any holding period in the first three to four years. The effective annual return of the high–priced momentumportfolio for the first year is economically significant at 18.4%, after controlling for the capitalization, trading volume, and unconditional mean ef fects. This return is considerably higher than the 11.3% earned by low–priced momen tum portfolios. Although the price level is correlated with capitalization and trading volume, the price effect is not a mere manifestation of the capitalization and volume ef fects, as it endures even when the other factors are controlled for. We discuss several im plications of our results for the existing behavioral and risk–based explanations of mo mentum, as none of these models have an explicit role for the price effect.

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