TY - JOUR T1 - Profitability of Price Momentum Strategies JF - The Journal of Investing SP - 38 LP - 45 DO - 10.3905/joi.2006.669097 VL - 15 IS - 4 AU - Paul Ryan AU - Rowan Curtin Y1 - 2006/11/30 UR - https://pm-research.com/content/15/4/38.abstract N2 - This article investigates the profitability of price-based momentum strategies in the Asian markets. The authors find that unrestricted momentum strategies are not profitable. Using the benchmark 6-month formation period/6 month holding period strategy, the authors find that although returns are in the expected direction (i.e., past winners outperform past losers), they are not statistically significant. In addition, the statistical significance is not improved when the authors control for size and country effects. Interestingly, fourteen of the sixteen trading strategies generate unexpected negative returns, suggesting that past losers outperform past winners. In ten of these fourteen cases, the returns generated are statistically significant. The authors' results represent challenges to those researchers trying to reconcile within a unified framework short-term momentum and long-term overreaction in equity markets. TOPICS: Emerging markets, portfolio construction, technical analysis ER -