Profitability of momentum strategies in Latin America

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 stra...

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Autores Principales: Berggrun, L., Cardona, E., Lizarzaburu, E.
Formato: Artículo (Article)
Lenguaje:Inglés (English)
Publicado: 2020
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Acceso en línea:http://hdl.handle.net/1992/47122
id ir-1992-47122
recordtype dspace
spelling ir-1992-471222020-11-04T20:27:13Z Profitability of momentum strategies in Latin America Berggrun, L. Cardona, E. Lizarzaburu, E. Momentum Stock returns Five-factor model Emerging markets 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. 2020-10-01T16:53:43Z 2020-10-01T16:53:43Z 2020 article publishedVersion http://hdl.handle.net/1992/47122 https://www.sciencedirect.com/science/article/abs/pii/S1057521920301460 eng openAccess application/pdf instname:Universidad de los Andes reponame:Repositorio Institucional Séneca
institution Universidad de los Andes
collection DSpace
language Inglés (English)
topic Momentum
Stock returns
Five-factor model
Emerging markets
spellingShingle Momentum
Stock returns
Five-factor model
Emerging markets
Berggrun, L.
Cardona, E.
Lizarzaburu, E.
Profitability of momentum strategies in Latin America
description 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.
format Artículo (Article)
author Berggrun, L.
Cardona, E.
Lizarzaburu, E.
author_facet Berggrun, L.
Cardona, E.
Lizarzaburu, E.
author_sort Berggrun, L.
title Profitability of momentum strategies in Latin America
title_short Profitability of momentum strategies in Latin America
title_full Profitability of momentum strategies in Latin America
title_fullStr Profitability of momentum strategies in Latin America
title_full_unstemmed Profitability of momentum strategies in Latin America
title_sort profitability of momentum strategies in latin america
publishDate 2020
url http://hdl.handle.net/1992/47122
_version_ 1705934366083907584
score 11,828437