Profitability of momentum strategies in Latin America

This article examines performance of momentum portfolios in Latin America. Conventional momentum produces zero risk-adjusted returns. Residual and model-based momentum strategies are also unable to deliver positive and significant risk-adjusted performance. A third or absolute strength momentum stra...

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Autores:
Berggrun, Luis
Cardona, Emilio
Lizarzaburu Bolaños, Edmundo R.
Tipo de recurso:
Article of investigation
Fecha de publicación:
2020
Institución:
Colegio de Estudios Superiores de Administración
Repositorio:
Repositorio CESA
Idioma:
eng
OAI Identifier:
oai:repository.cesa.edu.co:10726/5074
Acceso en línea:
http://hdl.handle.net/10726/5074
https://doi.org/10.1016/j.irfa.2020.101502
Palabra clave:
Momentum
Stock returns
Five-factor model
Emerging markets
Rights
License
Acceso Restringido
id CESA2_94c12d704d60d347cf343648dea22f85
oai_identifier_str oai:repository.cesa.edu.co:10726/5074
network_acronym_str CESA2
network_name_str Repositorio CESA
repository_id_str
spelling Berggrun, Luisaa243905-4ac7-476f-836d-5dd836dc0bcf600Cardona, Emilioecf99039-c466-45ac-ae92-0595379ee084600Lizarzaburu Bolaños, Edmundo R.9254c9ab-b3c5-4d65-a203-b13fbb744196600Berggrun, Luis [0000-0002-8489-0818]Lizarzaburu Bolaños, Edmundo R. [0000-0002-8862-5624]Berggrun, Luis [37057140100]Cardona, Emilio [57069944700]Lizarzaburu Bolaños, Edmundo R. [55617076500]2023-06-21T22:23:04Z2023-06-21T22:23:04Z2020-071057-5219http://hdl.handle.net/10726/5074instname:Colegio de Estudios Superiores de Administración – CESAreponame:Biblioteca Digital – CESArepourl:https://repository.cesa.edu.co/1873-8079https://doi.org/10.1016/j.irfa.2020.101502engElsevier BVMomentumStock returnsFive-factor modelEmerging marketsProfitability of momentum strategies in Latin Americaarticlehttp://purl.org/coar/resource_type/c_2df8fbb1http://purl.org/coar/resource_type/c_6501info:eu-repo/semantics/articlehttp://purl.org/redcol/resource_type/ARThttp://purl.org/coar/version/c_71e4c1898caa6e32Acceso Restringidohttp://vocabularies.coar-repositories.org/access_rights/c_16ec/http://purl.org/coar/access_right/c_16ecThis article examines performance of momentum portfolios in Latin America. Conventional momentum produces zero risk-adjusted returns. Residual and model-based momentum strategies are also unable to deliver positive and significant risk-adjusted performance. A third or absolute strength momentum strategy based on historical returns obtains positive and significant alphas only when controlling for market, size, and value factors. Nonetheless, when we control for country effects or expand the set of risk factors, abnormal returns to absolute strength momentum are also insignificant. In all, after accounting for risk, stock investors in the region were not able to profit from return continuation.https://orcid.org/0000-0002-8489-0818https://orcid.org/0000-0002-8862-5624https://www.scopus.com/authid/detail.uri?authorId=37057140100https://www.scopus.com/authid/detail.uri?authorId=57069944700https://www.scopus.com/authid/detail.uri?authorId=5561707650070International Review of Financial Analysis10726/5074oai:repository.cesa.edu.co:10726/50742023-10-02 19:31:31.007metadata only accessBiblioteca Digital - CESAbiblioteca@cesa.edu.co
dc.title.eng.fl_str_mv Profitability of momentum strategies in Latin America
title Profitability of momentum strategies in Latin America
spellingShingle Profitability of momentum strategies in Latin America
Momentum
Stock returns
Five-factor model
Emerging markets
title_short Profitability of momentum strategies in Latin America
title_full Profitability of momentum strategies in Latin America
title_fullStr Profitability of momentum strategies in Latin America
title_full_unstemmed Profitability of momentum strategies in Latin America
title_sort Profitability of momentum strategies in Latin America
dc.creator.fl_str_mv Berggrun, Luis
Cardona, Emilio
Lizarzaburu Bolaños, Edmundo R.
dc.contributor.author.spa.fl_str_mv Berggrun, Luis
Cardona, Emilio
Lizarzaburu Bolaños, Edmundo R.
dc.contributor.orcid.none.fl_str_mv Berggrun, Luis [0000-0002-8489-0818]
Lizarzaburu Bolaños, Edmundo R. [0000-0002-8862-5624]
dc.contributor.scopus.none.fl_str_mv Berggrun, Luis [37057140100]
Cardona, Emilio [57069944700]
Lizarzaburu Bolaños, Edmundo R. [55617076500]
dc.subject.none.fl_str_mv Momentum
Stock returns
Five-factor model
Emerging markets
topic Momentum
Stock returns
Five-factor model
Emerging markets
description This article examines performance of momentum portfolios in Latin America. Conventional momentum produces zero risk-adjusted returns. Residual and model-based momentum strategies are also unable to deliver positive and significant risk-adjusted performance. A third or absolute strength momentum strategy based on historical returns obtains positive and significant alphas only when controlling for market, size, and value factors. Nonetheless, when we control for country effects or expand the set of risk factors, abnormal returns to absolute strength momentum are also insignificant. In all, after accounting for risk, stock investors in the region were not able to profit from return continuation.
publishDate 2020
dc.date.issued.none.fl_str_mv 2020-07
dc.date.accessioned.none.fl_str_mv 2023-06-21T22:23:04Z
dc.date.available.none.fl_str_mv 2023-06-21T22:23:04Z
dc.type.none.fl_str_mv article
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dc.type.coar.none.fl_str_mv http://purl.org/coar/resource_type/c_2df8fbb1
dc.type.driver.none.fl_str_mv info:eu-repo/semantics/article
dc.type.redcol.none.fl_str_mv http://purl.org/redcol/resource_type/ART
dc.type.coarversion.none.fl_str_mv http://purl.org/coar/version/c_71e4c1898caa6e32
format http://purl.org/coar/resource_type/c_2df8fbb1
dc.identifier.issn.none.fl_str_mv 1057-5219
dc.identifier.uri.none.fl_str_mv http://hdl.handle.net/10726/5074
dc.identifier.instname.none.fl_str_mv instname:Colegio de Estudios Superiores de Administración – CESA
dc.identifier.reponame.none.fl_str_mv reponame:Biblioteca Digital – CESA
dc.identifier.repourl.none.fl_str_mv repourl:https://repository.cesa.edu.co/
dc.identifier.eissn.none.fl_str_mv 1873-8079
dc.identifier.doi.none.fl_str_mv https://doi.org/10.1016/j.irfa.2020.101502
identifier_str_mv 1057-5219
instname:Colegio de Estudios Superiores de Administración – CESA
reponame:Biblioteca Digital – CESA
repourl:https://repository.cesa.edu.co/
1873-8079
url http://hdl.handle.net/10726/5074
https://doi.org/10.1016/j.irfa.2020.101502
dc.language.iso.none.fl_str_mv eng
language eng
dc.relation.citationvolume.none.fl_str_mv 70
dc.relation.ispartofjournal.none.fl_str_mv International Review of Financial Analysis
dc.rights.coar.fl_str_mv http://purl.org/coar/access_right/c_16ec
dc.rights.local.none.fl_str_mv Acceso Restringido
dc.rights.coar.none.fl_str_mv http://vocabularies.coar-repositories.org/access_rights/c_16ec/
rights_invalid_str_mv Acceso Restringido
http://vocabularies.coar-repositories.org/access_rights/c_16ec/
http://purl.org/coar/access_right/c_16ec
dc.publisher.none.fl_str_mv Elsevier BV
publisher.none.fl_str_mv Elsevier BV
institution Colegio de Estudios Superiores de Administración
repository.name.fl_str_mv Biblioteca Digital - CESA
repository.mail.fl_str_mv biblioteca@cesa.edu.co
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