Momentum in high volume stocks
⚠ weakenedMomVolMomentum· Price data
Define momentum as Mom6m, and volume as the rolling average of the past 6 months of monthly turnover (minimum 5 months). Independent sort stocks into 10 momentum ports and 3 volume ports. Keep if volume is in the top port, and assign signal = momentum port. Drop if less than 2 years on CRSP.
IS Sharpe (1928–1999)
0.488
+12.7% p.a.
OOS Sharpe (2000–2024)
0.431
+16.3% p.a.
Sharpe decay
+11.7%
(IS − OOS) / |IS|
IS vol
26.1%
annualized
Cumulative return (last 40 years, monthly)
+69235%1984-012024-12
Publication details
AuthorsLee and Swaminathan
PaperLee and Swaminathan (2000)
JournalJournal of Finance
Publication year2000
Original sample1965–1995
IS T-statistic5.78
More Momentum anomalies
Firm Age - Momentum+0.56Momentum based on FF3 residuals+0.42Momentum (6 month)+0.42Momentum (Mom)+0.38Industry Momentum+0.37Intermediate Momentum+0.33
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