Improving momentum returns using generalized linear models

IF 2.6 4区经济学 Q2 BUSINESS, FINANCE

International Review of Finance Pub Date : 2025-04-11 DOI:10.1111/irfi.70014

Hui Zeng, Ben R. Marshall, Nhut H. Nguyen, Nuttawat Visaltanachoti

引用次数: 0

Abstract

We estimate the enduring momentum probabilities of past winners and losers continuing as future winners and losers by incorporating a comprehensive set of firm characteristics. Our results reveal that combining the price momentum signals and enduring momentum probabilities generates returns double those of the traditional price momentum strategy. Furthermore, the robust performance of the enduring momentum strategy cannot be fully attributed to factors such as seasonality, limits to arbitrage, and transaction costs.

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利用广义线性模型改进动量回报

我们通过整合一套全面的公司特征来估计过去的赢家和输家继续成为未来赢家和输家的持久动量概率。我们的研究结果表明，结合价格动量信号和持续动量概率可以产生双倍于传统价格动量策略的收益。此外，持久动力策略的强劲表现不能完全归因于季节性、套利限制和交易成本等因素。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

International Review of Finance BUSINESS, FINANCE-

CiteScore

3.30

自引率

5.90%

发文量

期刊介绍： The International Review of Finance (IRF) publishes high-quality research on all aspects of financial economics, including traditional areas such as asset pricing, corporate finance, market microstructure, financial intermediation and regulation, financial econometrics, financial engineering and risk management, as well as new areas such as markets and institutions of emerging market economies, especially those in the Asia-Pacific region. In addition, the Letters Section in IRF is a premium outlet of letter-length research in all fields of finance. The length of the articles in the Letters Section is limited to a maximum of eight journal pages.