Habitat momentum

Pawel Maryniak and Rafał Weron

No HSC/17/05, HSC Research Reports from Hugo Steinhaus Center, Wroclaw University of Science and Technology

Abstract: In this paper we find strong empirical evidence that stocks connected by common ownership with well-performing stocks tend to perform well in the following periods. Based on this observation, we introduce a new strategy – dubbed habitat momentum – and show for US stock price data from the period 1980-2014 that it yields 1.1% risk-adjusted alpha per month and is not sensitive to size nor liquidity of constituents as well as other well-known pricing factors. Interestingly, the habitat momentum effect provides empirical support for the Vayanos and Woolley (2013) model of institutional momentum.

Keywords: Momentum; Comovement; Institutional ownership (search for similar items in EconPapers)
JEL-codes: G02 G12 G23 (search for similar items in EconPapers)
Pages: 24 pages
Date: 2017-12-19
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