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| Author: | Glaser, M. Weber, M. |
| Title: | Momentum and Turnover: Evidence from the German Stock Market |
| Journal: | Schmalenbach Business Review
2003 : APR, VOL. 55:2, p. 108-135 |
| Index terms: | ASSETS PRICING STRATEGY TURNOVER TRADING VOLUMES |
| Language: | eng |
| Abstract: | This paper analyzes the relation between momentum strategies (strategies that buy stocks with high returns over the previous three to twelve months and sell stocks with low returns over the same period) and turnover (number of shares traded divided by the number of shares outstanding) for the German stock market. The authors' main finding is that momentum strategies are more profitable among high-turnover stocks. In contrast to U.S. evidence, this result is mainly driven by winners: high- turnover winners have higher returns than low-turnover winners. The authors present various robustness checks, long-horizon results, evidence on seasonality, and control for size-, book-to-market-, and industry-effects. |
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