Firm-specific attributes and the cross-section of momentum

Jacob S. Sagi, Mark Seasholes

Research output: Contribution to journalArticle

127 Citations (Scopus)

Abstract

This paper identifies observable firm-specific attributes that drive momentum. We find that a firm's revenues, costs, and growth options combine to determine the dynamics of its return autocorrelation. We use these insights to implement momentum strategies (buying winners and selling losers) with both numerically simulated returns and CRSP/Compustat data. In both sets of data, momentum strategies that use firms with high revenue growth volatility, low costs, or valuable growth options outperform traditional momentum strategies by approximately 5% per year.

Original languageEnglish (US)
Pages (from-to)389-434
Number of pages46
JournalJournal of Financial Economics
Volume84
Issue number2
DOIs
StatePublished - May 2007
Externally publishedYes

Fingerprint

Cross section
Momentum
Momentum strategies
Growth options
Costs
Return autocorrelation
Growth volatility
Revenue growth
Revenue

Keywords

  • Asset pricing
  • Expected returns
  • Momentum
  • Real options

ASJC Scopus subject areas

  • Accounting
  • Finance
  • Economics and Econometrics
  • Strategy and Management

Cite this

Firm-specific attributes and the cross-section of momentum. / Sagi, Jacob S.; Seasholes, Mark.

In: Journal of Financial Economics, Vol. 84, No. 2, 05.2007, p. 389-434.

Research output: Contribution to journalArticle

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