Residual Momentum

D Blitz, Joop Huij, MPE Martens

Research output: Contribution to journalArticleAcademicpeer-review

112 Citations (Scopus)
178 Downloads (Pure)

Abstract

Conventional momentum strategies exhibit substantial time-varying exposures to the Fama and French factors. We show that these exposures can be reduced by ranking stocks on residual stock returns instead of total returns. As a consequence, residual momentum earns risk-adjusted profits that are about twice as large as those associated with total return momentum; is more consistent over time; and less concentrated in the extremes of the cross-section of stocks. Our results are inconsistent with the notion that the momentum phenomenon can be attributed to a priced risk factor or market microstructure effects.
Original languageEnglish
Pages (from-to)506-521
Number of pages16
JournalJournal of Empirical Finance
Volume18
Issue number3
DOIs
Publication statusPublished - 2011

Research programs

  • EUR ESE 33
  • RSM F&A

Fingerprint

Dive into the research topics of 'Residual Momentum'. Together they form a unique fingerprint.

Cite this