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.
Authors
- Hui Zeng (ORCID: https://orcid.org/0000-0001-7744-9218)
- Nhut H. Nguyen (ORCID: https://orcid.org/0000-0001-5201-9430)
- Ben R. Marshall (ORCID: https://orcid.org/0000-0001-6237-0523)
- Nuttawat Visaltanachoti (ORCID: https://orcid.org/0000-0002-4351-3637)
Institutions
- Auckland University of Technology (NZ)
- Massey University (NZ)
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