Download This PaperResidual Momentum and Reversal Strategies Revisited
16 Pages Posted: 9 Mar 2017
Date Written: March 8, 2017
Abstract
In this note we revisit the 2011 and 2013 papers of Blitz, Huij, and Martens (BHM2011), and Blitz, Huij, Lansdorp, and Verbeek (BHLV2013) in which momentum and reversal strategies on residual returns are proposed. Our results indicate that the main findings of these studies, that residual momentum and reversal strategies exhibit significantly lower time-varying exposures to the Fama-French factors than conventional momentum and reversal strategies and consequently have significantly higher return-to-risk ratios, are robust across different global stock universes and out-of-sample periods after the publication of the first results.
Keywords: residual momentum, residual reversal, factor investing
JEL Classification: G11, G12, G14
Suggested Citation: Suggested Citation
Erasmus University Rotterdam (EUR) - Erasmus Research Institute of Management (ERIM)
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