Abstract
In this study we analyze the performance of variable-oriented momentum strategies, in order to detect alternatives which offer higher returns, compared to the simple price momentum strategies, for no significantly extra risk, in the very short run. Portfolios are constructed using twenty firm specific variables, of U.S. stocks traded in NYSE, NASDAQ and AMEX for a full six year period starting on March of 2002. We calculate a volatilityreward (VR) ratio for each observation, treated as a performance measure, and we apply Principal Component Analysis (PCA) on their series in order to detect the variables which contribute mostly in enhancing the performance of simple momentum strategies. Our findings suggest that short term investors could significantly benefit from momentum strategies if they take into account past firm specific information, which indirectly indicates a market underreaction to various announcements related to firms’ EPS. In particular, top analysts’ EPS estimate revisions followed by low P/E and high ROE contribute the most in producing momentum portfolios of superior performance, compared to a simple price momentum strategy.
Publication Date
2009-02-01
Publication Title
International Research Journal of Finance and Economics
Volume
N/A
Issue
24
Publisher
International Research Journal Publishers
ISSN
1450-2887
Embargo Period
2024-11-19
First Page
7
Last Page
27
Recommended Citation
Tziogkidis, P., & Zachouris, P. (2009) 'Momentum Equity Strategies: Are Certain Firm-Specific Variables Crucial in Achieving Superior Performance in Short Term Holding Periods?', International Research Journal of Finance and Economics, N/A(24), pp. 7-27. International Research Journal Publishers: Retrieved from https://pearl.plymouth.ac.uk/pbs-research/445
