Repository logo
 

Improving Momentum Returns Using Generalized Linear Models

Simple item page
aut.relation.issue2
aut.relation.journalInternational Review of Finance
aut.relation.volume25
dc.contributor.authorZeng, H
dc.contributor.authorMarshall, BR
dc.contributor.authorNguyen, NH
dc.contributor.authorVisaltanachoti, N
dc.date.accessioned2025-05-16T04:06:07Z
dc.date.available2025-05-16T04:06:07Z
dc.date.issued2025-04-11
dc.description.abstractWe 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.
dc.identifier.citationInternational Review of Finance, ISSN: 1369-412X (Print); 1468-2443 (Online), Wiley, 25(2). doi: 10.1111/irfi.70014
dc.identifier.doi10.1111/irfi.70014
dc.identifier.issn1369-412X
dc.identifier.issn1468-2443
dc.identifier.urihttp://hdl.handle.net/10292/19213
dc.languageen
dc.publisherWiley
dc.relation.urihttps://onlinelibrary.wiley.com/doi/10.1111/irfi.70014
dc.rights© 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/
dc.rights.accessrightsOpenAccess
dc.rights.urihttps://creativecommons.org/licenses/by/4.0/
dc.subject38 Economics
dc.subject3502 Banking, Finance and Investment
dc.subject3801 Applied Economics
dc.subject35 Commerce, Management, Tourism and Services
dc.subject1501 Accounting, Auditing and Accountability
dc.subject1502 Banking, Finance and Investment
dc.subject3501 Accounting, auditing and accountability
dc.subjectenduring momentum probability
dc.subjectfirm characteristics
dc.subjectmomentum
dc.titleImproving Momentum Returns Using Generalized Linear Models
dc.typeJournal Article
pubs.elements-id602322

Files

Original bundle

Now showing 1 - 1 of 1
Thumbnail Image
Name:
Int Rev Finance - 2025 - Zeng - Improving momentum returns using generalized linear models.pdf
Size:
4.03 MB
Format:
Adobe Portable Document Format
Description:
Journal article
Download

Collections

AUT Economics and Finance Department