{"title":"Are Momentum Strategies Profitable? Recent Evidence from European Markets","authors":"Anastasia Slabchenko","doi":"10.2139/ssrn.3397011","DOIUrl":null,"url":null,"abstract":"This paper examines the profitability of momentum strategies for a sample of Core and Peripheral European equity markets. More specifically, a large number of strategies with different combinations of ranking and holding periods are empirically evaluated for the period between December 1989 to January 2018 for the UK, Germany, French, Sweden, the Netherlands, Italy, Spain, Greece, and Portugal. The results indicate that both the profitability and the optimal combination of ranking and holding periods of momentum strategies vary across markets.","PeriodicalId":365642,"journal":{"name":"ERN: Behavioral Finance (Microeconomics) (Topic)","volume":"6 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2019-05-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"ERN: Behavioral Finance (Microeconomics) (Topic)","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.3397011","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
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Abstract
This paper examines the profitability of momentum strategies for a sample of Core and Peripheral European equity markets. More specifically, a large number of strategies with different combinations of ranking and holding periods are empirically evaluated for the period between December 1989 to January 2018 for the UK, Germany, French, Sweden, the Netherlands, Italy, Spain, Greece, and Portugal. The results indicate that both the profitability and the optimal combination of ranking and holding periods of momentum strategies vary across markets.
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