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Habitat momentum

Author

Listed:
  • Pawel Maryniak
  • Rafal Weron

Abstract

In this paper we find strong empirical evidence that stocks connected by common ownership with well-performing stocks tend to perform well in the following periods. Based on this observation, we introduce a new strategy – dubbed habitat momentum – and show for US stock price data from the period 1980-2014 that it yields 1.1% risk-adjusted alpha per month and is not sensitive to size nor liquidity of constituents as well as other well-known pricing factors. Interestingly, the habitat momentum effect provides empirical support for the Vayanos and Woolley (2013) model of institutional momentum.

Suggested Citation

  • Pawel Maryniak & Rafal Weron, 2017. "Habitat momentum," HSC Research Reports HSC/17/05, Hugo Steinhaus Center, Wroclaw University of Science and Technology.
    • Handle: RePEc:wuu:wpaper:hsc1705
    as

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    File URL: http://www.im.pwr.wroc.pl/~hugo/RePEc/wuu/wpaper/HSC_17_05.pdf
    File Function: Original version, 2017
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    References listed on IDEAS

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    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Momentum; Comovement; Institutional ownership;
    All these keywords.

    JEL classification:

    • G02 - Financial Economics - - General - - - Behavioral Finance: Underlying Principles
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors

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