Improving Momentum Returns Using Generalized Linear Models
Date
Authors
Zeng, H
Marshall, BR
Nguyen, NH
Visaltanachoti, N
Supervisor
Item type
Journal Article
Degree name
Journal Title
Journal ISSN
Volume Title
Publisher
Wiley
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.Description
Keywords
38 Economics, 3502 Banking, Finance and Investment, 3801 Applied Economics, 35 Commerce, Management, Tourism and Services, 1501 Accounting, Auditing and Accountability, 1502 Banking, Finance and Investment, 3501 Accounting, auditing and accountability, enduring momentum probability, firm characteristics, momentum
Source
International Review of Finance, ISSN: 1369-412X (Print); 1468-2443 (Online), Wiley, 25(2). doi: 10.1111/irfi.70014
Publisher's version
Rights statement
© 2025 The Author(s). International Review of Finance published by John Wiley & Sons Australia, Ltd on behalf of International Review of Finance Ltd. This is an open access article under the terms of the Creative Commons Attribution License, which permits use, distribution and reproduction in any medium, provided the original work is properly cited. Open Access. CC BY 4.0 https://creativecommons.org/licenses/by/4.0/