Profitability of momentum strategies in Latin America

被引：11

作者：

Berggrun, Luis ^{[1
]}

Cardona, Emilio ^{[2
]}

Lizarzaburu, Edmundo ^{[3
]}

机构：

[1] CESA Business Sch, Cll 35 5A-31, Bogota, Colombia

[2] Univ Los Andes, Calle 21 1-20 Ed SD, Bogota, Colombia

[3] ESAN Univ, Alonso de Molina 1652, Lima, Peru

来源：

INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS | 2020年 / 70卷

关键词：

Momentum; Stock returns; Five-factor model; Emerging markets; CROSS-SECTION; RESIDUAL MOMENTUM; ANOMALIES; REVERSAL; RETURNS;

D O I：

10.1016/j.irfa.2020.101502

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This article examines performance of momentum portfolios in Latin America. Conventional momentum produces zero risk -adjusted returns. Residual and model -based momentum strategies are also unable to deliver positive and significant risk -adjusted performance. A third or absolute strength momentum strategy based on historical returns obtains positive and significant alphas only when controlling for market, size, and value factors. Nonetheless, when we control for country effects or expand the set of risk factors, abnormal returns to absolute strength momentum are also insignificant. In all, after accounting for risk, stock investors in the region were not able to profit from return continuation.

引用

页数：10

共 34 条

[1] The Devil in HML's Details [J].