Profitability of Momentum Strategies Around the World

Sammanfattning: In this paper we investigate the international profitability of momentum strategies for a number of countries during the time period between 1995 and 2010. Positive abnormal returns were generated over 3 to 12 months by strategies buying the best past performance stocks and selling the worst past performance stocks. Although adjustments for risk-, size- and value factors didn’t result in any significant changes in the monthly excess returns, CAPM and Fama-French three factor model still couldn’t explain the source of these anomalies. Therefore, behavioral theories seem to be a possible explanation for the existence of these anomalies.