Abstract
This paper extends Bauman et al's (2002) study, and investigates the risk-adjusted returns for the first-timers and repeaters of the Business Week hot-growth stocks. Chan et al's (1996) short-term 6-month momentum model provides significant returns for the first-timers as well as for stocks that had already appeared on the list at least once, the repeaters. On the other hand, Mohanram's (2005) fundamental model provides significant returns for the repeaters only. A portfolio formed by purchasing the repeaters and short selling the first-timers generates significant returns in 10 out of 12 months after publication. We conclude that profitable long/short portfolios can be implemented on these growth stocks in addition to the short-only strategy as implied in Bauman et al (2002).
| Original language | English |
|---|---|
| Pages (from-to) | 192-204 |
| Number of pages | 13 |
| Journal | Journal of Asset Management |
| Volume | 10 |
| Issue number | 3 |
| DOIs | |
| State | Published - 1 Aug 2009 |
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Keywords
- Fundamental analysis
- Market efficiency
- Momentum
Cite this
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Analysis of Business Week hot-growth stocks : Momentum and fundamental investment approaches. / Yu, Susana; Kim, Sang Hoon.
In: Journal of Asset Management, Vol. 10, No. 3, 01.08.2009, p. 192-204.Research output: Contribution to journal › Article › Research › peer-review
TY - JOUR
T1 - Analysis of Business Week hot-growth stocks
T2 - Momentum and fundamental investment approaches
AU - Yu, Susana
AU - Kim, Sang Hoon
PY - 2009/8/1
Y1 - 2009/8/1
N2 - This paper extends Bauman et al's (2002) study, and investigates the risk-adjusted returns for the first-timers and repeaters of the Business Week hot-growth stocks. Chan et al's (1996) short-term 6-month momentum model provides significant returns for the first-timers as well as for stocks that had already appeared on the list at least once, the repeaters. On the other hand, Mohanram's (2005) fundamental model provides significant returns for the repeaters only. A portfolio formed by purchasing the repeaters and short selling the first-timers generates significant returns in 10 out of 12 months after publication. We conclude that profitable long/short portfolios can be implemented on these growth stocks in addition to the short-only strategy as implied in Bauman et al (2002).
AB - This paper extends Bauman et al's (2002) study, and investigates the risk-adjusted returns for the first-timers and repeaters of the Business Week hot-growth stocks. Chan et al's (1996) short-term 6-month momentum model provides significant returns for the first-timers as well as for stocks that had already appeared on the list at least once, the repeaters. On the other hand, Mohanram's (2005) fundamental model provides significant returns for the repeaters only. A portfolio formed by purchasing the repeaters and short selling the first-timers generates significant returns in 10 out of 12 months after publication. We conclude that profitable long/short portfolios can be implemented on these growth stocks in addition to the short-only strategy as implied in Bauman et al (2002).
KW - Fundamental analysis
KW - Market efficiency
KW - Momentum
UR - http://www.scopus.com/inward/record.url?scp=68949126886&partnerID=8YFLogxK
U2 - 10.1057/jam.2009.3
DO - 10.1057/jam.2009.3
M3 - Article
VL - 10
SP - 192
EP - 204
JO - Journal of Asset Management
JF - Journal of Asset Management
SN - 1470-8272
IS - 3
ER -