Analysis of Business Week hot-growth stocks: Momentum and fundamental investment approaches

Susana Yu; Sang Hoon Kim

doi:10.1057/jam.2009.3

Analysis of Business Week hot-growth stocks: Momentum and fundamental investment approaches

Susana Yu, Sang Hoon Kim

Accounting and Finance

Research output: Contribution to journal › Article

6 Citations (Scopus)

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	https://doi.org/10.1057/jam.2009.3
State	Published - 1 Aug 2009

Fingerprint

Growth stocks

Momentum

Short selling

Risk-adjusted returns

Purchasing

Keywords

Fundamental analysis
Market efficiency
Momentum

Cite this

Yu, S., & Kim, S. H. (2009). Analysis of Business Week hot-growth stocks: Momentum and fundamental investment approaches. Journal of Asset Management, 10(3), 192-204. https://doi.org/10.1057/jam.2009.3

Yu, Susana ; Kim, Sang Hoon. / Analysis of Business Week hot-growth stocks : Momentum and fundamental investment approaches. In: Journal of Asset Management. 2009 ; Vol. 10, No. 3. pp. 192-204.

@article{6885ddfd66584cd88681106e8c299c34,

title = "Analysis of Business Week hot-growth stocks: Momentum and fundamental investment approaches",

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).",

keywords = "Fundamental analysis, Market efficiency, Momentum",

author = "Susana Yu and Kim, {Sang Hoon}",

year = "2009",

month = "8",

day = "1",

doi = "10.1057/jam.2009.3",

language = "English",

volume = "10",

pages = "192--204",

journal = "Journal of Asset Management",

issn = "1470-8272",

publisher = "Palgrave Macmillan Ltd.",

number = "3",

}

Yu, S & Kim, SH 2009, 'Analysis of Business Week hot-growth stocks: Momentum and fundamental investment approaches', Journal of Asset Management, vol. 10, no. 3, pp. 192-204. https://doi.org/10.1057/jam.2009.3

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

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

AN - SCOPUS:68949126886

VL - 10

SP - 192

EP - 204

JO - Journal of Asset Management