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Article

Is There Momentum in Cross-Sectional Anomalies?

Jarkko Peltomäki and Emilia Peni
The Journal of Wealth Management Winter 2009, 12 (3) 78-88; DOI: https://doi.org/10.3905/jwm.2009.12.3.078
Jarkko Peltomäki
is a Ph.D. candidate at the department of accounting and finance, University of Vaasa in Finland.
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  • For correspondence: jape@uwasa.fi
Emilia Peni
is a Ph.D. candidate at the department of accounting and finance, University of Vaasa in Finland.
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  • For correspondence: epeni@uwasa.fi
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Abstract

This article examines the performance of Tactical Stock Allocation, which is based on anomalous behavior of stocks. Specifically, it uses the Fama and French [1993] Small-Minus-Big and High-Minus-Low factors and price-to-earnings ratio sorted returns over the period from 1970 to 2007 to characterize the anomalies. The authors find that a diversified strategy of tactical investing on these factors is capable of producing abnormal returns. However, tactical investing on the first two characterized anomalies is inferior to that of the price-earnings anomaly for the most recent period, thus implying changes in investors’ return-chasing behavior. Moreover, the evidence suggests that the anomalies related to the ratios exhibit momentum, and investors should invest in the best-performing anomaly of the month.

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The Journal of Wealth Management: 12 (3)
The Journal of Wealth Management
Vol. 12, Issue 3
Winter 2009
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Is There Momentum in Cross-Sectional Anomalies?
Jarkko Peltomäki, Emilia Peni
The Journal of Wealth Management Oct 2009, 12 (3) 78-88; DOI: 10.3905/jwm.2009.12.3.078

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Is There Momentum in Cross-Sectional Anomalies?
Jarkko Peltomäki, Emilia Peni
The Journal of Wealth Management Oct 2009, 12 (3) 78-88; DOI: 10.3905/jwm.2009.12.3.078
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