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Revisiting the momentum factor in the U.K. stock market

Author

Listed:
  • Mohammad Q. M. Momani

    (the Department of Banking & Financial Sciences, the Hashemite University)

Abstract

The objective of this study is to examine the Carhart (1997) four-factor asset pricing model to revisit whether the momentum factor is indeed priced in the U.K. equity market, over the period from October 1980 through June 2016. The study applies the state-of-the-art two-pass cross-sectional regression methodology of Lewellen et al. (2010). I find the momentum factor is not priced. The result is robust using a shorter sample that excludes the recent financial crisis data.

Suggested Citation

  • Mohammad Q. M. Momani, 2018. "Revisiting the momentum factor in the U.K. stock market," Economics Bulletin, AccessEcon, vol. 38(1), pages 528-531.
    • Handle: RePEc:ebl:ecbull:eb-18-00110
    as

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    File URL: http://www.accessecon.com/Pubs/EB/2018/Volume38/EB-18-V38-I1-P49.pdf
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    References listed on IDEAS

    as
    1. Ruenzi, Stefan & Weigert, Florian, 2018. "Momentum and crash sensitivity," Economics Letters, Elsevier, vol. 165(C), pages 77-81.
    2. Lewellen, Jonathan & Nagel, Stefan & Shanken, Jay, 2010. "A skeptical appraisal of asset pricing tests," Journal of Financial Economics, Elsevier, vol. 96(2), pages 175-194, May.
    3. Raymond Kan & Cesare Robotti & Jay Shanken, 2013. "Pricing Model Performance and the Two‐Pass Cross‐Sectional Regression Methodology," Journal of Finance, American Finance Association, vol. 68(6), pages 2617-2649, December.
    4. Newey, Whitney & West, Kenneth, 2014. "A simple, positive semi-definite, heteroscedasticity and autocorrelation consistent covariance matrix," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 33(1), pages 125-132.
    5. Alan Gregory & Rajesh Tharyan & Angela Christidis, 2013. "Constructing and Testing Alternative Versions of the Fama–French and Carhart Models in the UK," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 40(1-2), pages 172-214, January.
    6. Fletcher, Jonathan, 2014. "Benchmark models of expected returns in U.K. portfolio performance: An empirical investigation," International Review of Economics & Finance, Elsevier, vol. 29(C), pages 30-46.
    7. Cremers, Martijn & Petajisto, Antti & Zitzewitz, Eric, 2013. "Should Benchmark Indices Have Alpha? Revisiting Performance Evaluation," Critical Finance Review, now publishers, vol. 2(1), pages 1-48, July.
    8. Carhart, Mark M, 1997. "On Persistence in Mutual Fund Performance," Journal of Finance, American Finance Association, vol. 52(1), pages 57-82, March.
    9. J. Davies & Jonathan Fletcher & Andrew Marshall, 2015. "Testing index-based models in U.K. stock returns," Review of Quantitative Finance and Accounting, Springer, vol. 45(2), pages 337-362, August.
    10. Fama, Eugene F. & French, Kenneth R., 1993. "Common risk factors in the returns on stocks and bonds," Journal of Financial Economics, Elsevier, vol. 33(1), pages 3-56, February.
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    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Momentum; Cross-Sectional; Asset Pricing; U.K.;
    All these keywords.

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets

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