@techreport{Theissen2020Momentum,
abstract = {Risk-adjusted momentum returns are usually estimated by sorting stocks into a regularly rebalanced long-short portfolio based on their prior return and then running a full-sample regression of the portfolio returns on a set of factors (portfolio-level risk adjustment). This approach implicitly assumes constant factor exposure of the momentum portfolio. However, momentum portfolios are characterized by high turnover and time-varying factor exposure. We propose to estimate the risk exposure at the stock-level. The risk-adjusted return of the momentum portfolio in month t then is the actual return minus the weighted average of the expected returns of the component stocks (stock-level risk adjustment). Based on evidence from the universe of CRSP stocks, from sub-periods and size-based sub-samples, from volatility-scaled momentum strategies (Barroso and Santa-Clara 2015) and from an international sample covering 20 developed countries, we conclude that the momentum effect may be much weaker than previously thought.},
address = {Cologne},
author = {Erik Theissen and Can Yilanci},
copyright = {http://www.econstor.eu/dspace/Nutzungsbedingungen},
keywords = {C58; G12; 330; Momentum; Risk adjustment; Time-series regression},
language = {eng},
number = {20-09},
publisher = {University of Cologne, Centre for Financial Research (CFR)},
title = {Momentum? What Momentum?},
type = {CFR Working Paper},
url = {http://hdl.handle.net/10419/226389},
year = {2020}
}