Constrained Momentum Investment

Marcus Davidsson

Abstract


The previous literature on momentum investments has only considered the so called unconstrained momentum return. This paper will investigate budget constrained momentum returns by using two different datasets. The conclusion is that unconstrained momentum returns systematically overestimate the positive returns and underestimates the negative returns. This has not previously been understood. Such a result has important implications for applied portfolio investments and the attractiveness of such strategy.

Full Text: PDF DOI: 10.5430/ijfr.v3n2p69

Creative Commons License
This work is licensed under a Creative Commons Attribution 3.0 License.

International Journal of Financial Research
ISSN 1923-4023(Print) ISSN 1923-4031(Online)

 

Copyright © Sciedu Press

To make sure that you can receive messages from us, please add the 'Sciedu.ca' domain to your e-mail 'safe list'. If you do not receive e-mail in your 'inbox', check your 'bulk mail' or 'junk mail' folders.