Twin momentum: Fundamental trends matter

• Main Authors: HUANG, Dashan, ZHANG, Huacheng, ZHOU, Guofu
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2017
• Subjects: Price Momentum; Fundamental Momentum; Twin Momentum; Finance; Finance and Financial Management
• Online Access: https://ink.library.smu.edu.sg/lkcsb_research/5157; https://ink.library.smu.edu.sg/context/lkcsb_research/article/6156/viewcontent/Twin20190107.pdf
• Institution: Singapore Management University

Using both the levels and the time-series trends of a collection of firms' major fundamentals, we find that fundamentals matter after all: they can also generate strong return momentum. A fundamental momentum strategy that goes long stocks with fundamental in the top quintile and short stocks w...