Improving momentum returns using generalized linear models

Abstract We estimate the enduring momentum probabilities of past winners and losers continuing as future winners and losers by incorporating a comprehensive set of firm characteristics. Our results reveal that combining the price momentum signals and enduring momentum probabilities generates returns double those of the traditional price momentum strategy. Furthermore, the robust performance of the enduring momentum strategy cannot be fully attributed to factors such as seasonality, limits to arbitrage, and transaction costs.

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Publication Details

Journal
International Review of Finance
Published
2025-04-11
DOI
https://doi.org/10.1111/irfi.70014
Citations
1
Primary Topic
Financial Markets and Investment Strategies
Type
article
Field-Weighted Citation Impact
2.21
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article

Improving momentum returns using generalized linear models

Hui Zeng, Nhut H. Nguyen, Ben R. Marshall, Nuttawat Visaltanachoti
1 citations
International Review of Finance
Financial Markets and Investment Strategies
2.21
article

Improving momentum returns using generalized linear models

Hui Zeng, Nhut H. Nguyen, Ben R. Marshall, Nuttawat Visaltanachoti
article en
1 citations

Abstract

Abstract We estimate the enduring momentum probabilities of past winners and losers continuing as future winners and losers by incorporating a comprehensive set of firm characteristics. Our results reveal that combining the price momentum signals and enduring momentum probabilities generates returns double those of the traditional price momentum strategy. Furthermore, the robust performance of the enduring momentum strategy cannot be fully attributed to factors such as seasonality, limits to arbitrage, and transaction costs.

International Review of FinanceVol. 25(2)
Auckland University of Technology (NZ), Massey University (NZ)
Openalex Percentile: Top 15%
Financial Markets and Investment Strategies
2.21
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Improving momentum returns using generalized linear models — Hui Zeng, Nhut H. Nguyen, et al. · International Review of Finance (2025) | TGRS Research Map | TGRS