Publication Type
Working Paper
Version
publishedVersion
Publication Date
10-2021
Abstract
A portfolio of FAANG stocks does not show remarkable outperformance after the acronym was coined. Monthly returns attenuate by more than half after controlling for common factor exposures using traditional or modern asset-pricing models. Alphas in the post-acronym period are not always statistically significant. Pre-acronym alphas are in contrast strong and robust. FAANG-sector stocks comove more with a FAANG portfolio in the post-acronym period. But sorting stocks on their FAANG beta does not earn a reliable return spread. These results might be consistent with investors over-extrapolating the success of hot investing themes, and abnormal profits become less remarkable after popularization.
Keywords
FANG stocks, FAANG stocks, Extrapolative beliefs, Comovement
Discipline
Finance and Financial Management
Research Areas
Finance
Identifier
10.2139/ssrn.3938244
Publisher
SSRN
Citation
LOH, Roger.
FAANG stocks. (2021).
Available at: https://ink.library.smu.edu.sg/lkcsb_research/6902
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.
Additional URL
http://doi.org/10.2139/ssrn.3938244