| Summary: | 碩士 === 國立東華大學 === 財務金融學系 === 103 === This paper aims to discuss the comparison of momentum strategies proposed by Jegadeesh and Titman (1993) and Lewellen’s (2014) out-of-sample forecasts. Some scholars have found that stock returns and expected returns over the past 1~12 months are positively correlated; we take this discovery as the inspiration, trying to add return volatility into Jegadeesh and Titman’s momentum strategy. In addition, we also compare the result of models which include the past cumulative returns and the volatility of stock returns.
The results show that the addition of stocks return volatility policy is better than Jegadeesh and Titman’s momentum strategy only in short holding periods, like K=1 and K=3. Besides, the first-month holding-period returns based on the out-of-sample forecasts would be much greater than those of the Jegadeesh and Titman momentum strategy. On the other hand, while the holding period extends, their performance will rapidly decline. Even after adding return volatility into consideration, the overall performance makes limited differences.
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