Alpha Momentum and Price Momentum

Hühn HL, Scholz H (2018)

Publication Language: English

Publication Type: Journal article

Publication year: 2018

Journal

International Journal of Financial Studies MDPI

Book Volume: 6

Pages Range: 1-28

Journal Issue: 2

DOI: 10.3390/ijfs6020049

Abstract

We analyze a novel alpha momentum strategy that invests in stocks based on three-factor alphas which we estimate using daily returns. The empirical analysis for the U.S. and for Europe shows that (i) past alpha has power in predicting the cross-section of stock returns; (ii) alpha momentum exhibits less dynamic factor exposures than price momentum and (iii) alpha momentum dominates price momentum only in the U.S. Connecting both strategies to behavioral explanations, alpha momentum is more related to an underreaction to firm-specific news while price momentum is primarily driven by price overshooting due to momentum trading.

Authors with CRIS profile

Hannah Lea Hühn Lehrstuhl für Betriebswirtschaftslehre, insbesondere Finanzierung und Banken Hendrik Scholz Lehrstuhl für Betriebswirtschaftslehre, insbesondere Finanzierung und Banken

How to cite

APA:

Hühn, H.L., & Scholz, H. (2018). Alpha Momentum and Price Momentum. International Journal of Financial Studies, 6(2), 1-28. https://dx.doi.org/10.3390/ijfs6020049

MLA:

Hühn, Hannah Lea, and Hendrik Scholz. "Alpha Momentum and Price Momentum." International Journal of Financial Studies 6.2 (2018): 1-28.

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