Firm characteristics that drive the momentum pattern in the UK stock market

Siganos, A. (2013) Firm characteristics that drive the momentum pattern in the UK stock market. Quantitative Finance, 13(3), pp. 439-449. (doi:10.1080/14697688.2012.694466)

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Publisher's URL: http://dx.doi.org/10.1080/14697688.2012.694466

Abstract

Previous studies have estimated the company characteristics of previous winners and losers to explore the momentum effect. Using UK data, this study focuses on the characteristics of companies that actually generate the momentum pattern. These are previous winners who keep performing well (WW) and past losers who consistently perform poorly (LL). This study illustrates that WW and LL firms may experience similar market-based characteristics such as young, low-priced, small capitalization, but that there are significant differences. Accounting and fundamental signals (e.g., profitability, value/growth) tend to distinguish winners from losers. Based on firm characteristics, we further develop investment strategies that can outperform significantly the profitability of the momentum strategy.

Item Type:Articles
Status:Published
Refereed:Yes
Glasgow Author(s) Enlighten ID:Siganos, Dr Antonios
Authors: Siganos, A.
College/School:College of Social Sciences > Adam Smith Business School > Accounting and Finance
Journal Name:Quantitative Finance
Publisher:Taylor and Francis
ISSN:1469-7688
Published Online:03 August 2012
Copyright Holders:Copyright © 2012 Taylor and Francis
First Published:First published in Quantitative Finance
Publisher Policy:Reproduced in accordance with the copyright policy of the publisher

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