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We investigate the profitability and return patterns of momentum strategies in 10 European countries. Using data from December 2003 to December 2015, we find momentum returns to be lower than… Click to show full abstract
We investigate the profitability and return patterns of momentum strategies in 10 European countries. Using data from December 2003 to December 2015, we find momentum returns to be lower than to those reported in previous research. Our results indicate that the low momentum returns can be attributed to market conditions during the period of 2007–2012. When examining momentum returns generated by small and large stocks in separate time periods, we find momentum returns to be stronger among small stocks and weaker in large stocks.
Journal Title: Finance Research Letters
Year Published: 2017
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