Publication Type
Journal Article
Version
acceptedVersion
Publication Date
11-2019
Abstract
In this article, the authors propose a simple and novel measure of relative strength over investment horizons that synthesizes short- and intermediate-term price information. The relative-strength measure compares the short-term price trend with the intermediate-term price trend. The relative strength strategy generates substantial profits, which are greater than a simple sum of traditional short-term reversal and momentum profits. The superior performance of the relative strength strategy is evident after risk adjustments for various factor models and is robust across subperiods and different market conditions. These findings seem consistent with investor conservatism and the idea that investors are slow to adjust to new information.
Keywords
Analysis of individual factors/risk premia, factor-based models, style investing
Discipline
Finance and Financial Management | Portfolio and Security Analysis
Research Areas
Finance
Publication
Journal of Portfolio Management
Volume
46
Issue
1
First Page
91
Last Page
105
ISSN
0095-4918
Identifier
10.3905/jpm.2019.1.111
Publisher
Institutional Investor Inc
Citation
ZHU, Zhaobo; DUAN, Xinrui; and Jun TU.
Relative strength over investment horizons and stock returns. (2019). Journal of Portfolio Management. 46, (1), 91-105.
Available at: https://ink.library.smu.edu.sg/lkcsb_research/7068
Copyright Owner and License
Authors
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.
External URL
https://doi.org/10.3905/jpm.2019.1.111