The Post‐Cost Profitability of Momentum Trading Strategies: Further Evidence from the UK
研究英国股市1988-2003年间动量策略扣除交易成本后的盈利情况，发现短期（6个月内）策略因成本过高而无效，但长期（超过6个月）仍能获利，对关注交易成本和策略有效性的投资者有参考价值。
Abstract This paper examines the post‐cost profitability of momentum trading strategies in the UK over the period 1988–2003 and provides direct evidence on stock concentration, turnover and trading cost associated with the strategy. We find that after factoring out transaction costs the profitability of the momentum strategy disappears for shorter horizons but remains for longer horizons. Indeed, for ranking and holding periods up to 6‐months, profitable momentum returns would not be available to most average investors as the cost of implementation outweighs the possible returns. However, we find post‐cost profitability for ranking and/or holding periods beyond 6 months as portfolio turnover and its associated cost reduces. We find similar results for a sub‐sample of relatively large and liquid stocks.