PROFITABILITY OF CAPM MOMENTUM STRATEGIES IN THE US STOCK MARKET
Abstract
This paper provides a historical review of the performance of the risk-adjusted momentum strategies when buying and selling stocks according to the alpha estimates of the CAPM and Fama–French regressions. Our sample covers over 60 million US daily firm-return observations. High Sharpe ratios are obtained under our risk-adjusted strategies. It is also found that stock market crashes have no apparent impact on our momentum profits.
Keywords: Momentum Strategies; Sharpe Ratio; Fama-French Model; CAPM Model.
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