Are momentum profits driven by the cross-sectional dispersion in expected stock returns?

作者：Bhootra Ajay^*

来源：Journal of Financial Markets, 2011, 14(3): 494-513.

DOI：10.1016/j.finmar.2010.12.002

• Momentum
• Cross-sectional return dispersion
• Penny stocks

Consistent with the hypothesis that momentum profits are attributable to the cross-sectional dispersion in expected returns, Bulkley and Nawosah (2009) report that momentum is nonexistent in demeaned returns. Motivated by their work, I examine whether absence of momentum in demeaned returns is robust to methodological adjustments that mitigate microstructure biases. I find that with commonly employed techniques including skipping a month between the formation and holding periods and excluding firms priced less than $5 (penny stocks) from the sample, the mean monthly momentum profit in demeaned returns increases from -0.37% to 1.02% over the 1963 to 2006 sample period. The results highlight the critical importance of using microstructure screens in empirical momentum studies.

• 出版日期2011-8