The determinants of momentum in the United Kingdom |
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Institution: | 1. University of St. Andrews, St. Andrews, Scotland, United Kingdom;2. Napier University, Edinburgh, Scotland, United Kingdom |
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Abstract: | This study examines the effects of size, analyst coverage, and book-to-market in explaining momentum profits in UK stocks. We document a pattern of momentum in UK stocks and find that momentum profits are negatively related to firm size, analyst coverage, and book-to-market. We find that book-to-market is more important than coverage and coverage is more important than size in explaining momentum profits. We examine the book-to-market effect closely and find that a value premium exists for past stock losers, but a growth discount exists for past stock winners. Finally, the results of this study provide mixed support for the information diffusion hypothesis of Hong and Stein (1999). |
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