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International Journal of Business and Society, Volume 18, Issue 2, 2017, pp. 347-362

Profitability of CAPM momentum strategies in the us stock market

Abstract :

This paper provides a historical review of the performance of the risk-adjusted momentum strategies when buying and selling stocks according to the alpha estimates of the CAPM and Fama-French regressions. Our sample covers over 60 million US daily firm-return observations. High Sharpe ratios are obtained under our risk-adjusted strategies. It is also found that stock market crashes have no apparent impact on our momentum profits. © 2017, Universiti Malaysia Sarawak. All rights reserved.

Keywords : CAPM Model,Fama-french model,Momentum strategies,Sharpe ratio
Subject Area : Business and International Management Economics and Econometrics Finance Strategy and Management

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