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Momentum and industry-dependence: An analysis of the Swiss stock market

Author

Listed:
  • Tim Herberger

    (University of Bamberg)

  • Daniel Kohlert

    (University of Bamberg)

  • Andreas Oehler

Abstract

Various studies have shown that future stock returns are predictable based on past returns in many international security markets. Developing strategies to benefit from these autocorrelations of security returns and finding reasons for the abnormal positive returns resulting from trading strategies are major objectives of investment research. Following Jegadeesh and Titman, we analyze the profitability of momentum strategies in the Swiss stock market over the period from December 1979 until February 2009. Controlling for market returns and for transaction costs, we find that investors using momentum strategies could have indeed generated superior returns during that time period. This applies for several combinations of ranking and holding periods. In addition, we analyze for the first time whether the returns of momentum strategies involving Swiss stocks are industry-dependent. Our findings suggest that momentum in the Swiss stock market is clearly driven by high-technology stocks. The financial sector, in contrast, performs worst over that period of time.

Suggested Citation

  • Tim Herberger & Daniel Kohlert & Andreas Oehler, 2011. "Momentum and industry-dependence: An analysis of the Swiss stock market," Journal of Asset Management, Palgrave Macmillan, vol. 11(6), pages 391-400, February.
    • Handle: RePEc:pal:assmgt:v:11:y:2011:i:6:d:10.1057_jam.2010.23
    DOI: 10.1057/jam.2010.23
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    References listed on IDEAS

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    Cited by:

    1. Paulo Ferreira, 2020. "Dynamic long-range dependences in the Swiss stock market," Empirical Economics, Springer, vol. 58(4), pages 1541-1573, April.

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