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

External URL

https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3938244

Additional URL

http://doi.org/10.2139/ssrn.3938244

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