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Issue 5(1), October 2010 -- Paper Abstracts

Girard  (p. 9-22)

Cooper (p. 23-32)

Kunz-Osborne (p. 33-41)

Coulmas-Law (p.42-46)

Stasio (p. 47-56)

Albert-Valette-Florence (p.57-63)

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Nonis-Hudson-Hunt (p. 95-106)

JOURNAL OF ACCOUNTING AND FINANCE

The Predictability Characteristics and Profitability of Price

Momentum Strategies: A New Approach

Author(s): Prodosh Eugene Simlai

Citation: Prodosh Eugene Simlai, (2011) "The Predictability Characteristics and Profitability of Price Momentum Strategies: A New Approach" Vol. 11, Iss. 4, pp. 63 - 70

Article Type: Research paper

Publisher: North American Business Press

Abstract:

We suggest a flexible method to study the dynamic effect of common risk factors on the profitability of price momentum returns. Unlike the existing work which evaluate momentum profits under constant coefficient time-series framework, our approach helps us to incorporate serial correlations and heteroskedasticity in changes in expected momentum profit level. As a result, the expected momentum profit level differs in magnitude from its traditional counterpart. Our empirical implementation demonstrates new evidence on the predictability characteristics and profitability of price momentum portfolios using our theoretical framework.