INDIA (winner)

Table 4: Pre crisis period

Holding period return Alpha Risk adjusted return

K TSM MM 52W RSM TSM MM 52W RSM TSM MM 52W RSM

-
1 0.0553 0.0338 0.0274 0.0137 -0.0156 -0.0516 -0.0492 0.03353 -0.1895 -0.2749 -0.5927
0.0457
0.2756
3 0.1417 0.1176 0.0863 0.0116 0.0818 0.0414 0.0151 -0.0419 0.495 0.41961 -0.9931
9
0.9264
Financial crisis 6 0.2416 0.2347 0.1798 0.0097 0.1971 0.1742 0.1236 -0.0408 0.85134 0.96352 -1.3299
6
1.3070
9 0.3578 0.3418 0.264 0.0081 0.2975 0.2752 0.1975 -0.0437 1.23686 1.33036 -1.6829
6
1.4149
12 0.4382 0.4184 0.3366 0.005 0.3732 0.3493 0.2776 -0.047 1.43055 1.43147 -2.2895
3
-
1 -0.0152 -0.0053 -0.0039 -0.0395 0.0908 -0.1155 -0.1155 0.6827 -0.8768 -1.0962 -1.6239
0.0465
-
3 -0.0038 -0.0114 -0.0018 -0.0319 0.0544 -0.0647 -0.0856 0.4117 -0.7938 -0.9269 -2.827
0.0658
-
Covid 6 0.0147 -0.0011 0.0154 -0.032 0.0338 -0.0543 -0.0826 0.1503 -0.3669 -0.4945 -3.188
0.0542
-
9 0.0173 0.0045 0.0254 -0.0283 0.0497 -0.0431 -0.0815 0.1165 -0.2338 -0.2504 -3.1385
0.0509
-
12 0.0253 -0.0053 0.0343 -0.0271 0.0572 -0.068 -0.0897 0.0731 -0.2236 -0.1257 -3.4426
0.0706

In this study, we examine the performance of four momentum strategies (TSM, MM, 52W, and
RSM) in the Indian stock market. In Table 4, we report the holding period return, Alpha, and
risk-adjusted return (Sharpe ratio) of the momentum strategies across different holding periods
(1, 3, 6, 9, and 12 months). Our findings reveal that the Time Series Momentum (TSM) strategy
consistently outperforms across all holding periods. As shown in Table 4, TSM generates higher
returns in all categories: holding period returns, which reflect the raw returns of momentum
portfolios; Alpha, which measures the additional returns generated after adjusting for the Fama-
French three-factor model; and risk-adjusted returns, as indicated by the Sharpe ratio.
Furthermore, TSM outperforms other momentum strategies in terms of risk-adjusted returns
(Sharpe ratio) during bullish market conditions.

Table 5 Crisis period

Holding period return Alpha Risk adjusted return

K TSM MM 52W RSM TSM MM 52W RSM TSM MM 52W RSM

1 -0.102 -0.034 -0.016 -0.061 -0.11 -0.076 -0.06 -0.1 -0.7419 -0.655 -0.8964 -0.9386

3 -0.328 -0.145 -0.077 -0.074 -0.303 -0.151 -0.087 -0.115 -0.4924 -0.8695 -0.7872 -1.5335

Financial crisis 6 -0.398 -0.289 -0.173 -0.066 -0.43 -0.321 0.201 -0.114 -0.0789 -0.963 -0.8351 -1.8501

9 -0.429 -0.387 -0.276 -0.062 -0.499 -0.444 -0.34 -0.113 -1.0919 -1.0731 -1.1028 -2.5028

12 -0.281 0.11 -0.663 0.653 -0.45 -0.442 -0.377 -0.102 -0.8505 -0.8884 -0.8428 -2.8312

1 0.145 0.025 0.025 0.022 0.099 -0.019 -0.017 -0.014 0.43219 -0.0526 -0.0554 -0.1017
Covid
3 0.123 0.045 0.039 0.003 0.076 0.002 0 -0.03 0.3037 0.08144 0.04396 -0.4164
 6 0.134 0.075 0.053 0 0.103 0.043 0.015 -0.032 0.36431 0.19583 0.10306 -0.7715

9 0.062 0.044 0.009 -0.022 0.037 -0.002 -0.037 -0.053 0.13473 0.06275 -0.1076 -1.9707

12 0.066 0.048 -0.011 -0.02 0.029 0.013 -0.048 -0.053 0.22613 0.12037 -0.2149 -3.349

During market downturns, particularly during the crises period, while most strategies fail to
deliver positive returns, the risk-adjusted return of TSM demonstrates relatively better
performance over 3- and 6-month holding periods. Though its risk-adjusted returns remain
negative in such periods, TSM experiences smaller losses compared to other strategies. For
instance, during the financial crisis, TSM's risk-adjusted returns over 3- and 6-month holding
periods were -0.4924 and -0.0789, respectively, which are notably smaller losses than those of
other strategies. During the COVID-19 crisis, TSM outperformed by generating a positive risk-
adjusted return of 0.36431 over a 6-month holding period, as shown in Table 5. Additionally,
both Alpha and holding period returns (raw returns) confirm the robustness of TSM during
market recoveries in the Indian stock market. These findings align with the results explained by
Singh & Walia (2019) in their study.

Table 6 Recovery period

Holding period return Alpha Risk adjusted return

K TSM MM 52W RSM TSM MM 52W RSM TSM MM 52W RSM

1 0.0309 0.0198 0.0104 -0.0077 -0.0298 -0.0417 0.0498 -0.0658 -0.2754 -0.5995 -0.97 -1.0468
-
3 0.0843 0.0602 0.0518 -0.0017 0.0243 -0.0022 -0.0587 0.23265 0.05322 -0.0286 -1.4837
0.0094
Financial crisis 6 0.1438 0.1342 0.114 0.0007 0.0793 0.0733 0.0537 -0.0556 0.57621 0.55028 0.42463 -1.5697

9 0.1572 0.1885 0.1776 -0.0018 0.1009 0.1239 0.1128 -0.0576 0.5725 0.76637 0.66663 -1.7568
1
0.1811 0.2142 0.2134 -0.0065 0.118 0.1533 0.1518 -0.0626 0.56203 0.7378 0.71168 -2.0653
2
-
1 0.0298 0.0145 0.0137 -0.0036 -0.0199 -0.0414 -0.046 1.75667 -0.3437 -0.416 -0.9577
0.0323
-
3 0.0793 0.056 0.0459 0 0.0239 -0.0026 -0.0395 0.40248 0.19758 0.12549 -1.1876
0.0129
Covid 6 0.136 0.1206 0.106 -0.0006 0.0803 0.0668 0.0295 -0.0382 0.65312 0.63558 0.53274 -1.5107

9 0.2451 0.1811 0.1788 0.005 0.1938 0.1188 0.1066 -0.0317 0.96915 0.87758 0.87587 -1.2168
1
0.3227 0.2622 0.2512 0.005 0.2678 0.2044 0.1935 -0.0331 1.26704 1.22081 1.19247 -1.5616
2

Market recovery: TSM provides the highest risk-adjusted returns compared to other momentum
strategies in three out of five holding periods (1-month, 3-month, and 6-month) at the time of
financial crisis, while Price Momentum generates higher returns in the 9-month and 12-month
holding periods. In contrast, TSM outperforms across all holding periods during the COVID-19
pandemic, demonstrating that the TSM strategy recovers faster than other strategies. Specifically,
it achieved highest risk-adjusted returns of 0.57621 and 1.26704 during the 6 and 12 month
holding period following the financial crisis and COVID-19 pandemic, respectively,
outperforming all other momentum strategies.
Additionally, Alpha and holding period returns (raw returns) further confirm the robustness of
TSM during market recoveries in the Indian stock market. These findings align with the results
explained by Singh & Walia (2019) in their study

4.2. Return from momentum strategies in USA market (Winner-Only Portfolio)

Table 7 Profitability of momentum strategies pre crisis in USA market (winner) based on 12-month formation period.

Holding period return Alpha Risk adjusted return

K TSM MM 52W RSM TSM MM 52W RSM TSM MM 52W RSM

1 0.0105 0.0053 0.4024 -0.1178 0.0065 0.0010 0.2902 -0.1167 0.1476 0.0356 0.1217 -1.6242

3 0.0101 0.0269 2.4093 -0.1176 0.0069 0.0261 2.5357 -0.1155 0.2645 0.2947 0.5089 -1.5865

Financial crisis 6 0.0121 0.0709 5.7871 -0.1177 0.0084 0.0680 5.5622 -0.1170 0.6352 0.7003 1.4795 -1.7672

9 0.0108 0.1118 8.5194 -0.1170 0.0068 0.1074 8.3558 -0.1181 0.5567 0.9932 1.9794 -1.8433

12 0.0074 0.1560 11.6184 -0.1131 0.0024 0.1482 11.4255 -0.1155 0.2226 1.2604 2.1620 -1.7468

1 0.0075 0.0064 0.9241 -0.0855 -0.0064 -0.0087 0.0717 -0.0831 0.1190 0.0910 0.2557 -2.6664

3 0.0053 0.0098 1.9224 -0.0821 0.0022 -0.0089 0.4354 -0.0845 0.1439 0.1016 0.3324 -3.7954

Covid 6 0.0039 0.0300 4.0383 -0.0832 0.0024 0.0215 3.3743 -0.0831 0.1493 0.3034 0.7364 -5.1863

9 0.0057 0.0473 5.2264 -0.0817 0.0033 0.0481 4.9042 -0.0816 0.3790 0.4216 0.7629 -6.2192

12 0.0084 0.0656 7.0367 -0.0798 0.0073 0.0595 6.2104 -0.0807 0.7038 0.5009 0.7992 -6.0214

Pre-Crisis Period:
The 52-week high investment strategy demonstrated strong performance during the pre-crisis
period. Specifically, a portfolio that focused on "winner" stocks—those hitting 52-week highs—
consistently achieved higher risk-adjusted returns throughout the entire holding period. The
highest risk-adjusted returns observed for this strategy were 2.1620 and 0.7992, particularly
when the portfolio was held for 12 months during both events (the financial crisis and the
COVID-19 pandemic).
To verify the robustness of these findings, we examined the Alpha, which is calculated based on
the portfolio’s excess return after adjusting for the Fama-French three-factor model. Alpha
remained positive across all holding periods, with the maximum Alpha achieved being 11.4255
and 6.2104 during the 12-month holding period. This outcome aligns with existing literature
suggesting that 52-week high prices tend to perform well, especially during bullish market
conditions, as shown by Byun and Jeon (2023). Additionally, the 52-week high strategy
outperformed other strategies in terms of holding period returns (raw returns) across all holding
periods, further demonstrating the resilience of 52-week high prices during bull markets in the
U.S. market
Table 8 Profitability of momentum strategies at the period of crisis in USA market (winner) based on 12-month formation period.

Holding period return Alpha Risk adjusted return

K TSM MM 52W RSM TSM MM 52W RSM TSM MM 52W RSM

- - - - - - -
1 -2.7880 0.1346 -1.7257 0.1421 1.7661
0.0308 0.0329 0.0193 0.0209 0.4296 0.3966 0.4732
- - - - - - - -
3 0.1387 -9.7515 0.1443 2.3204
0.0291 0.1337 10.6043 0.0188 0.1202 0.4580 0.6500 0.8535
- - - - - - - - -
Financial crisis 6 0.1177 0.1188 2.7530
0.0249 0.2709 22.3694 0.0184 0.2410 21.2019 0.5258 0.8860 1.0893
- - - - - - - - -
9 0.1013 0.1001 3.0129
0.0175 0.3752 29.1818 0.0153 0.3801 29.1176 0.4915 1.2102 1.2772
- - - - - - -
12 0.0666 -0.0284 0.0775 0.0858 1.8567
1.6306 0.0060 0.3956 28.8434 0.2484 1.3165 1.2148
1 0.0192 0.0089 1.0856 0.0472 0.0086 0.0057 -0.2416 0.0718 0.2279 0.0962 0.1637 0.8670

3 0.0212 0.0384 1.0989 0.0458 0.0005 0.0820 7.2353 0.0755 0.4847 0.2923 0.0859 0.9868

Covid 6 0.0308 0.0806 0.7754 0.0305 0.0248 0.1755 7.2474 0.0560 2.0353 0.4952 0.0514 0.6050
-
9 0.0321 0.1272 -1.9525 0.0140 0.0253 0.1332 -2.5662 0.0286 2.5409 0.9069 2.3072
0.1471
- -
12 0.0319 0.1227 -1.5877 0.0278 0.1111 0.0874 0.0908 3.9421 1.0071 2.0648
0.0023 0.1902
During Crisis:
During crises, momentum strategies often experience sharp declines in performance, leading to
significant losses. Increased volatility during these periods adversely affects short-term
momentum strategies. However, due to high volatility, the residual momentum strategy (RSM)
not only generates positive returns but also achieves the highest returns among strategies like
time-series momentum (TSM), cross-sectional momentum (MM), and the 52-week high price
strategy. This is because residual momentum isolates a stock's returns from broader market
influences by focusing on residual returns—those remaining after removing common factors
such as the overall market, sectors, or other systematic risk factors. Consequently, during market
downturns, residual momentum strategies may outperform by exploiting inefficiencies or
mispricing specific to individual stocks, rather than being overly exposed to the overall negative
market trend (Blitz et al., 2011)
In Table 8 we can see that during financial crisis when different momentum strategies generate
negative result RSM Is the only strategy that generate positive return with maximum of 3.0129
when it is held for 9 month and RSM is consistently perform better in all the holding period and
Alpha and Holding period return also support this result and make this strategy a robust finding.

During covid -19 pandemic we can see that in 1 and 3 month holding period RSM gives higher
risk adjusted return but in 6,9 and 12 TSM gives highest risk adjusted return followed by RSM.
and Alpha and Holding period return of RSM and TSM is positive though not robust because
COVID – 19 pandemic presented a unique scenario with rapid market declines followed by swift
recoveries where most of the strategies fail there is a quick recovery that has happened in the
market still Risk adjusted return of both RSM and TSM is high and positive in short term.

Table 9 Profitability of momentum strategies at the time of recovery in USA market (winner) based on 12-month formation period.

Holding period return Alpha Risk adjusted return

K TSM MM 52W RSM TSM MM 52W RSM TSM MM 52W RSM

1 0.0235 0.0177 0.9290 0.0592 0.0052 -0.0008 0.0060 0.0580 0.3768 0.2743 0.2944 0.8021
Financial crisis
3 0.0201 0.0436 2.9367 0.0594 0.0138 0.0358 2.3335 0.0586 0.6417 0.4777 0.5871 0.8012
 6 0.0196 0.0807 5.5474 0.0668 0.0172 0.0668 5.0207 0.0651 0.9010 0.6399 0.8164 0.8643

9 0.0200 0.1209 8.2334 0.0731 0.0191 0.1182 8.1454 0.0724 1.4046 1.0052 1.0069 0.9413

12 0.0196 0.1368 9.3158 0.0763 0.0190 0.1425 9.5385 0.0753 2.1908 0.9007 0.8109 1.0382

1 0.0140 0.0103 0.7530 0.0379 0.0010 -0.0027 0.2063 0.0360 0.2771 0.1382 0.1596 0.4402

3 0.0140 0.0398 2.0894 0.0373 0.0110 0.0299 1.2320 0.0374 0.5355 0.5516 0.3218 0.4277

Covid 6 0.0102 0.0656 3.5064 0.0506 0.0098 0.0506 3.8668 0.0494 0.5582 0.6235 0.3391 0.8687

9 0.0078 0.1002 6.3072 0.0581 0.0067 0.0959 6.5740 0.0567 0.6884 0.7826 0.5100 1.2918

12 0.0065 0.1707 9.1826 0.0599 0.0052 0.1472 8.0905 0.0584 0.6000 0.8608 0.6106 1.5004

Recovery Period: The recovery phase showed a resurgence in momentum performance, as

economic recovery and market stabilization allowed winner stocks to regain traction. 52 week
high momentum strategies perform best compare to other momentum strategies because it
attributes to anchoring bias, wherein speculators anchor their valuation estimates to the stock’s
recent peak. Stocks trading significantly below their 52-week high are perceived as undervalued
by market participants, who believe they have sufficient "room to run." This leads to an
overestimation of the stock's future value and subsequent overpricing. As these overvaluations
correct over time, stocks far from their 52-week highs underperform relative to those at or near
their peaks. In Table 9, at the time of financial crisis, 52 week high momentum strategy
consistently delivers higher holding period returns across various holding periods—1, 3, 6, and
12 months. The Alpha of 52 week high momentum strategy is outperform compare to other
momentum strategy that explain the robustness of the strategy also the risk adjusted return of the
portfolio explained by sharpe ratio is positive that confirms high performance of 52 week high
momentum strategy.

4.3. Result of momentum strategies in USA market (winner-loser)

Table 10 Profitability of momentum strategies pre crisis in USA market (winner- loser) based on 12-month formation period.

Holding period return Alpha Risk adjusted return

K TSM MM 52W RSM TSM MM 52W RSM TSM MM 52W RSM

- - - - 0.017 -
1 0.0036 0.0042 -0.2444 -0.0035 0.0016 0.0382
0.0001 0.2792 0.0068 0.0635 8 0.3621
- - - 0.257 -
3 0.0046 0.0219 -0.1982 -0.0031 0.0024 0.0202 0.0525
0.0889 0.0061 0.0355 6 0.6101
- 0.714 -
Financial crisis 6 0.0084 0.0596 0.6455 -0.0026 0.0069 0.0559 0.7990 0.3187 0.0919
0.0057 8 0.7617
- - 0.493 -
9 0.0087 0.0977 0.9503 -0.0045 0.0061 0.0943 0.7587 0.1250
0.0081 0.3092 7 0.2627
1 - 1.449 -
0.0073 0.1425 1.5435 -0.0042 0.0039 0.1358 1.3231 0.4002 0.1963
2 0.0080 1 1.3780
- - - - 0.101 -
1 0.0006 0.0043 0.5433 -0.0100 0.0708 0.0546
0.0102 0.0097 0.0108 0.0196 2 0.4581
- - - - 0.423 -
3 0.0014 0.0075 3.4260 -0.0074 2.8749 0.0773
0.0031 0.0099 0.0087 0.0114 3 0.9015
- 0.505 -
Covid 6 0.0029 0.0317 4.0523 -0.0086 0.0004 0.0227 4.1463 0.0970 0.3336
0.0102 5 2.0106
- 0.570 -
9 0.0037 0.0544 4.3244 -0.0083 0.0011 0.0550 4.0140 0.2027 0.5098
0.0092 7 1.9544
1 - 0.589 -
0.0056 0.0767 5.1181 -0.0082 0.0035 0.0701 4.8866 0.4743 0.6351
2 0.0096 1 1.9142
Pre-Crisis Period: In the pre-crisis period, stocks reaching their 52-week highs consistently
outperform other momentum strategies across holding periods ( 6, 9, and 12 months) at the time
of financial crisis and all the holding period in COVID pandemic. These stocks not only deliver
higher risk adjusted returns but also show superior holding period return and alpha, suggesting
that the 52-week high momentum explains a substantial portion of the overall momentum profits.
The performance of 52-week high stocks can be attributed to anchoring bias, wherein speculators
anchor their valuation estimates to the stock’s recent peak. Stocks trading significantly below
their 52-week high are perceived as undervalued by market participants, who believe they have
sufficient "room to run." This leads to an overestimation of the stock's future value and
subsequent overpricing. As these overvaluations correct over time, stocks far from their 52-week
highs underperform relative to those at or near their peaks. This behavioral bias plays a critical
role in the mispricing of assets, particularly during pre-crisis periods, where investor sentiment is
more inclined towards risk-taking and optimism reference.

Table 11 Profitability of momentum strategies at the time of Crisis in USA market (winner - loser) based on 12-month formation period.

Holding period return Alpha Risk adjusted return

K TSM MM 52W RSM TSM MM 52W RSM TSM MM 52W RSM

- - - - - - - - -
1 -0.0474 -0.0261 -2.9947
0.0336 0.0368 0.0109 0.0546 0.0180 0.2296 0.4835 0.0033 0.2222
- - - - - - - - -
3 -5.5613 -0.1207 -4.4549
0.0370 0.1325 0.0109 0.0420 0.0127 0.4365 0.7103 0.2129 0.4703
- - - - - - - -
Financial crisis 6 6.2006 -0.2232 3.2133 0.2747
0.0375 0.2513 0.0083 0.0433 0.0071 0.6329 0.9249 0.4965
- - - - 11.484 - - - -
9 13.6343 -0.3395 1.0081
0.0338 0.3350 0.0103 0.0370 6 0.0109 0.8844 1.1515 0.6470
1 - - - 15.898 - - - -
0.1484 -1.4072 -0.3619 1.1057
2 1.5755 0.0761 0.0322 8 0.0120 1.0848 1.2988 0.7854
- - - - -
1 0.0104 1.0526 0.0280 0.0003 2.8106 0.1345 0.0749
0.0025 0.0237 0.0105 0.0360 0.8829
- - - - - - -
3 0.0247 -5.3284 0.0680 -6.6238 0.1929
0.0088 0.0117 0.0121 0.0108 0.2270 0.2835 1.1526
- - - - - -
Covid 6 0.0549 8.5102 -0.0331 5.1434 0.3655 0.5742
0.0139 0.0113 0.0331 0.0039 0.4561 1.6633
- - - 21.552 - - -
9 0.0917 12.7203 0.1030 0.6578 0.5431
0.0135 0.0095 0.0242 5 0.0107 0.6323 1.1367
1 - - - 17.546 - - -
0.0937 18.6603 0.0971 0.8999 1.8313
2 0.0127 0.0096 0.0127 2 0.0089 0.8724 3.5619

During market crises, results vary across holding periods; however, the 52-week high momentum
strategy often generates higher risk-adjusted returns (Sharpe ratio). In Table 11, we observe that
the risk-adjusted return of the 52-week high momentum strategy is higher in the (6, 9 and
12)month holding periods. Additionally, the Alpha and holding period returns make these results
robust during financial crises. During COVID-19 period, the 52-week high momentum strategy
generated higher holding period returns and Alpha in three out of five holding periods (1-month,
6-month, and 12-month). The risk-adjusted return (Sharpe ratio) outperformed in the 6-month
and 12-month holding periods, though in the 9-month holding period, the TSM strategy
outperformed with a return of 0.6578, compared to the positive return of 0.5431 from the 52-
week high momentum strategy. Overall, the 52-week high momentum strategy outperformed in 7
out of 10 holding periods. This highlights the 52 week high momentum strategies ability to
capture investor behavior, particularly during market recoveries, where psychological anchoring
to the 52-week high often drives performance.
Table 12 Profitability of momentum strategies at recovery in USA market (winner - loser) based
on 12-month formation period.

Holding period return Alpha Risk adjusted return

K TSM MM 52W RSM TSM MM 52W RSM TSM MM 52W RSM

1 0.0033 0.0168 -0.9820 -0.0009 0.0019 -0.0007 0.1707 -0.0014 0.0770 -0.1759 0.2856 -0.0424

3 0.0032 0.0415 -1.1245 -0.0010 0.0028 -1.0484 0.0342 -0.0004 0.1379 -0.1379 0.4809 -0.0660

Financial crisis 6 0.0047 0.0783 -6.9299 0.0000 0.0052 -6.1774 0.0661 0.0000 0.3437 -0.3400 0.6738 -0.0072

9 0.0050 0.1117 -8.3141 0.0007 0.0053 -7.1773 0.1065 0.0010 0.5362 -0.3684 0.9666 0.0811
1
0.0049 0.1258 -7.5154 -0.0011 0.0050 -7.2711 0.1299 -0.0012 0.5997 -0.3066 0.8684 -0.1215
2
1 0.0074 0.0074 -0.3577 -0.0087 0.0037 -0.0040 0.2365 -0.0112 -0.0579 0.1088 -0.0639 -0.2684

3 0.0045 0.0307 -1.1622 0.0015 0.0050 -1.0091 0.0235 0.0015 0.1355 -0.1311 0.4232 0.0486

Covid 6 0.0028 0.0519 -5.7983 -0.0031 0.0026 -3.0765 0.0397 -0.0026 0.1250 -0.3092 0.4937 -0.2627

9 -0.0015 0.0780 -10.1513 -0.0062 -0.0029 -7.0780 0.0520 -0.0071 -0.1683 -0.4506 0.5781 -0.5515
1
-0.0018 0.1383 -16.2050 -0.0095 -0.0031 -15.3666 0.1161 -0.0111 -0.3283 -0.7553 0.7176 -0.9062
2
Recovery Period: When the market recovers post crisis in USA market we found that 52-week
high momentum strategy outperform other momentum strategy in term of higher risk adjusted
return in most of the holding period. The reason for this is because post crisis there is increase in
investor sentiment during market recover results in speculative demands to concentrate on stocks
far from their peaks. This is consistent with Baker and Wurgler (2007) who argue that an
increase in investor sentiment results in high contemporaneous returns of speculative stocks.
Therefore, stocks far from their peaks outperform stocks near their peaks, contemporaneous with
market rebounds. To verify the robustness of these findings, we examined the alpha, which is
calculated based on the portfolio’s excess return after adjusting for Fama French 3 factor model.
Alpha remained positive and continuously outperform across all holding periods. But if we see
the holding period return (raw return) of the portfolio in table 12 Price momentum (MM)
continuously gives higher return compare because Price Momentum strategy captures stocks
with strong recent price performance, which show sharp upward movements due to market
speculation and trend continuation. These stocks deliver higher holding period return (raw
returns), but these returns often come with heigh volatility and risk, making them less efficient
from a risk-adjusted perspective (Hühn & Scholz 2018).
References

Hühn, H. L., & Scholz, H. (2018). Alpha momentum and price momentum. International Journal of
Financial Studies, 6(2), 49.