Title

The vanishing abnormal returns of momentum strategies and ‘front-running’ momentum strategies

Date of this Version

1-1-2012

Document Type

Journal Article

Publication Details

Published version

Henker, J., Henker, T., Huynh, R., & Martens, M. (2012). The vanishing abnormal returns of momentum strategies and ‘front-running’ momentum strategies. Journal of Accounting and Finance, 12(4), 86-100. ISSN: 2158-3625

Access the journal

2012 HERDC submission. FoR code: 150201

© Copyright North American Business Press, 2012

ISSN

2158-3625

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.

 

This document has been peer reviewed.