| Author: | Agyei-Ampomah, S. |
| Title: | The post-cost profitability of momentum trading strategies: further evidence from the UK |
| Journal: | European Financial Management
2007 : SEP, VOL. 13:4, p. 776-802 |
| Index terms: | transaction costs market efficiency portfolio investment United Kingdom |
| Language: | eng |
| Abstract: | The article examines the post-cost profitability of momentum trading strategies in the UK over the period 1988-2003 and provides direct evidence on stock concentration, turnover and trading cost associated with the strategy. It is found that after factoring out transaction costs the profitability of the momentum strategy disappears for shorter horizons but remains for longer horizons. Indeed, for ranking and holding periods up to 6-months, profitable momentum returns would not be available to most average investors as the cost of implementation outweighs the possible returns. |
SCIMA