Profitability of CAPM Momentum Strategies in the US Stock Market

Chong, Terence Tai Leung and He, Qing and Ip, Hugo Tak Sang and Siu, Jonathan T. (2017): Profitability of CAPM Momentum Strategies in the US Stock Market. Forthcoming in: International Journal of Business and Society

Abstract

This paper provides a historical review of the performance of the risk-adjusted momentum strategies when buying and selling stocks according to the alpha estimates of the CAPM and Fama–French regressions. Our sample covers over 60 million US daily firm-return observations. High Sharpe ratios are obtained under our risk-adjusted strategies. It is also found that stock market crashes have no apparent impact on our momentum profits.

• Item Type: MPRA Paper
• Language: English
• Keywords: Momentum Strategies; Sharpe Ratio; Fama-French Model; CAPM Model.
• Subjects: G - Financial Economics > G1 - General Financial Markets > G14 - Information and Market Efficiency ; Event Studies ; Insider Trading

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