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| Author: | Parmler, J. Gonzalez, A. |
| Title: | Is momentum due to data-snooping? |
| Journal: | European Journal of Finance
2007 : APR/JUN, VOL. 13:3-4, p. 301-318 |
| Index terms: | financial performance market efficiency strategy benchmarking models Scandinavia Sweden USA |
| Language: | eng |
| Abstract: | This paper examines the profitability of momentum strategies (henceforth as: mom-str./mom-strs.) by investigating if a mom-str. is superiour to a benchmark model once the effects of data-snooping have been accounted for. Based on data of two datasets of U.S. and Swedish stocks, it is found for the U.S. strong evidence of a momentum effect. Hence, the hypothesis of weak market efficiency is rejected. The results for the Swedish data indicate that mom-strs. based on individual stocks generate significant profits. Finally, the results show that data-snooping bias can be very substantial etc. |
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