Improving momentum returns using generalized linear models

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dc.citation.issue2
dc.citation.volume25
dc.contributor.authorZeng H
dc.contributor.authorMarshall BR
dc.contributor.authorNguyen NH
dc.contributor.authorVisaltanachoti N
dc.date.accessioned2025-04-30T01:50:51Z
dc.date.available2025-04-30T01:50:51Z
dc.date.issued2025-06
dc.description.abstractWe 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.
dc.description.confidentialfalse
dc.edition.editionJune 2025
dc.identifier.citationZeng H, Marshall BR, Nguyen NH, Visaltanachoti N. (2025). Improving momentum returns using generalized linear models. International Review of Finance. 25. 2.
dc.identifier.doi10.1111/irfi.70014
dc.identifier.eissn1468-2443
dc.identifier.elements-typejournal-article
dc.identifier.issn1369-412X
dc.identifier.numbere70014
dc.identifier.urihttps://mro.massey.ac.nz/handle/10179/72820
dc.languageEnglish
dc.publisherJohn Wiley and Sons Australia, Ltd on behalf of International Review of Finance Ltd
dc.publisher.urihttps://onlinelibrary.wiley.com/doi/10.1111/irfi.70014
dc.relation.isPartOfInternational Review of Finance
dc.rights(c) 2025 The Author/s
dc.rightsCC BY 4.0
dc.rights.urihttps://creativecommons.org/licenses/by/4.0/
dc.subjectenduring momentum probability
dc.subjectfirm characteristics
dc.subjectmomentum
dc.titleImproving momentum returns using generalized linear models
dc.typeJournal article
pubs.elements-id500445
pubs.organisational-groupOther
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