ETF momentum

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...

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Bibliographic Details
Main Authors: LI, Frank Weikai, TEO, Song Wee Melvyn, YANG, Chloe Chunliu
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2019
Subjects:
ETFs
Exchange traded funds
momentum
overreaction
Finance and Financial Management
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
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Institution: Singapore Management University
Language: English

Internet

https://ink.library.smu.edu.sg/lkcsb_research/6446
https://ink.library.smu.edu.sg/context/lkcsb_research/article/7445/viewcontent/SSRN_id3468556.pdf

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