ETF momentum
We document economically large momentum profits when sorting ETFs on returns over the past two to four years. A value-weighted, long-short strategy based on ETF momentum delivers Carhart (1997) four-factor alphas of up to 1.20% per month. Neither cross-sectional stock momentum nor co-variation with...
Saved in:
| Main Authors: | , , |
|---|---|
| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2019
|
| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/lkcsb_research/6446 https://ink.library.smu.edu.sg/context/lkcsb_research/article/7445/viewcontent/SSRN_id3468556.pdf |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| Institution: | Singapore Management University |
| Language: | English |
| id |
sg-smu-ink.lkcsb_research-7445 |
|---|---|
| record_format |
dspace |
| spelling |
sg-smu-ink.lkcsb_research-74452019-12-19T05:40:52Z ETF momentum LI, Frank Weikai TEO, Song Wee Melvyn YANG, Chloe Chunliu We document economically large momentum profits when sorting ETFs on returns over the past two to four years. A value-weighted, long-short strategy based on ETF momentum delivers Carhart (1997) four-factor alphas of up to 1.20% per month. Neither cross-sectional stock momentum nor co-variation with macroeconomic and liquidity risks can explain ETF momentum. Instead, the post-holding period returns are most consonant with the behavioral story of delayed overreaction. While ETF momentum survives multiple adjustments for transaction costs, it may be difficult to arbitrage as the profits are volatile and concentrated in ETFs with high idiosyncratic volatility or that hold low-analyst-coverage stocks. 2019-10-12T07:00:00Z text application/pdf https://ink.library.smu.edu.sg/lkcsb_research/6446 https://ink.library.smu.edu.sg/context/lkcsb_research/article/7445/viewcontent/SSRN_id3468556.pdf http://creativecommons.org/licenses/by-nc-nd/4.0/ Research Collection Lee Kong Chian School Of Business eng Institutional Knowledge at Singapore Management University ETFs Exchange traded funds momentum overreaction Finance and Financial Management |
| institution |
Singapore Management University |
| building |
SMU Libraries |
| continent |
Asia |
| country |
Singapore Singapore |
| content_provider |
SMU Libraries |
| collection |
InK@SMU |
| language |
English |
| topic |
ETFs Exchange traded funds momentum overreaction Finance and Financial Management |
| spellingShingle |
ETFs Exchange traded funds momentum overreaction Finance and Financial Management LI, Frank Weikai TEO, Song Wee Melvyn YANG, Chloe Chunliu ETF momentum |
| description |
We document economically large momentum profits when sorting ETFs on returns over the past two to four years. A value-weighted, long-short strategy based on ETF momentum delivers Carhart (1997) four-factor alphas of up to 1.20% per month. Neither cross-sectional stock momentum nor co-variation with macroeconomic and liquidity risks can explain ETF momentum. Instead, the post-holding period returns are most consonant with the behavioral story of delayed overreaction. While ETF momentum survives multiple adjustments for transaction costs, it may be difficult to arbitrage as the profits are volatile and concentrated in ETFs with high idiosyncratic volatility or that hold low-analyst-coverage stocks. |
| format |
text |
| author |
LI, Frank Weikai TEO, Song Wee Melvyn YANG, Chloe Chunliu |
| author_facet |
LI, Frank Weikai TEO, Song Wee Melvyn YANG, Chloe Chunliu |
| author_sort |
LI, Frank Weikai |
| title |
ETF momentum |
| title_short |
ETF momentum |
| title_full |
ETF momentum |
| title_fullStr |
ETF momentum |
| title_full_unstemmed |
ETF momentum |
| title_sort |
etf momentum |
| publisher |
Institutional Knowledge at Singapore Management University |
| publishDate |
2019 |
| url |
https://ink.library.smu.edu.sg/lkcsb_research/6446 https://ink.library.smu.edu.sg/context/lkcsb_research/article/7445/viewcontent/SSRN_id3468556.pdf |
| _version_ |
1770574837024030720 |