Firm Age - Momentum
✓ aliveFirmAgeMomMomentum· Price data
6 month return, restricted to the bottom quintile of the cross-sectional firm age distribution. Exclude if price less than 5 or firm younger than 12 months.
IS Sharpe (1927–2005)
0.758
+14.0% p.a.
OOS Sharpe (2006–2024)
0.561
+9.3% p.a.
Sharpe decay
+26.0%
(IS − OOS) / |IS|
IS vol
18.5%
annualized
Cumulative return (last 40 years, monthly)
+50578%1984-012024-12
Publication details
AuthorsZhang
PaperZhang (2006)
JournalJournal of Finance
Publication year2006
Original sample1983–2001
IS T-statistic7.21
More Momentum anomalies
Momentum in high volume stocks+0.43Momentum based on FF3 residuals+0.42Momentum (6 month)+0.42Momentum (Mom)+0.38Industry Momentum+0.37Intermediate Momentum+0.33
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