Improving momentum returns using generalized linear models
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Date
2025-06
Open Access Location
Authors
Journal Title
Journal ISSN
Volume Title
Publisher
John Wiley and Sons Australia, Ltd on behalf of International Review of Finance Ltd
Rights
(c) 2025 The Author/s
CC BY 4.0
CC BY 4.0
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.
Description
Keywords
enduring momentum probability, firm characteristics, momentum
Citation
Zeng H, Marshall BR, Nguyen NH, Visaltanachoti N. (2025). Improving momentum returns using generalized linear models. International Review of Finance. 25. 2.