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JOURNAL OF ACCOUNTING AND FINANCE
The Vanishing Abnormal Returns of Momentum Strategies and
‘Front-Running’ Momentum Strategies
Author(s): Julia Henker, Thomas Henker, Robert Huynh, Martin Martens
Citation: Julia Henker, Thomas Henker, Robert Huynh, Martin Martens, (2012) "The Vanishing Abnormal Returns of Momentum Strategies and ‘Front-Running’ Momentum Strategies," Journal of Accounting and Finance, Vol. 12, Iss. 4, pp. 86 - 100
Article Type: Research paper
Publisher: North American Business Press
Abstract:
We find variations in returns from momentum strategies. Unlike most studies, we form portfolios one week prior to the end of month, called ‘front-running’ momentum portfolios. As expected, due to the effects of institutional momentum trading, our ‘front-running’ portfolios generate returns of similar magnitude but lower volatility than month-end strategies. We also show that the previously documented large-firm momentum effect is sensitive to the strategy examined, and is attributable to the abnormal returns of large NASDAQ stocks. Moreover, momentum strategies did not earn significant returns during our sample period, an indication that momentum is not an unambiguously persistent anomaly.
