Herberger, T., Horn, M., Oehler, A., 2020, Are intraday reversal and momentum trading strategies feasible? An analysis for German blue chip stocks, Financial Markets and Portfolio Management, 34, 179–197.
Abstract
The success of trading strategies that lead to abnormal excess returns based on
annual/monthly investment periods has recently declined significantly. We adopt the
original frameworks of De Bondt and Thaler (J Finance 40(3):793–808, 1985) and
Jegadeesh and Titman (J Finance 48(1):65–91, 1993) to an intraday reversal as well
as momentum strategy scheme based on 5-min stock returns. We analyze 16 reversal and momentum strategies each with ranking and holding periods of 60, 120, 180 or 300 min (reversal strategies) and 15, 30, 45 or 60 min (momentum strategies) from a retail investor’s perspective.We find no indications for momentum in stock prices but strong indications for reversals. Our results are furtherly robust regarding to market adjustment, portfolio sizes and skipping periods between ranking and holding periods.
Our results show that the returns of the reversal strategies are statistically significant, however, yet too small to be economically significant. Our results also confirm the efficiency on the stock markets.
Keywords
Intraday trading · Price reversals · Reversal strategies · Momentum strategies
JEL Classifications
G10, G11, G14
Zuvor:
Herberger, T., Horn, M., Oehler, A., 2018, Trading Strategies in Intraday-Trading: Do Momentum and Reversal in Stock Prices Exist?, 54th Meeting of the Eastern Finance Association (EFA), April 11-14.
Herberger, T., Horn, M., Oehler, A., 2015, Are Momentum Strategies Feasible in Intraday-Trading? Empirical Results from the German Stock Market; International Conference on Operations Research, August 30 - September 2, 2016; 2016 Behavioural Finance Working Group Conference, June 13-14, 2016; 52nd Meeting of the Eastern Finance Association (EFA), April 6-9, 2016.
Herberger, T., Horn, M., Oehler, A., 2015, Are Momentum Strategies Feasible in Intraday-Trading? Empirical Results from the German Stock Market; International Conference on Operations Research, August 30 - September 2, 2016; 2016 Behavioural Finance Working Group Conference, June 13-14, 2016; 52nd Meeting of the Eastern Finance Association (EFA), April 6-9, 2016.
