The Determinants of Momentum in the United Kingdom
Posted: 17 Jul 2006
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).
Keywords: Momentum, Size, Book-to-market, Analyst coverage, United Kingdom
JEL Classification: G12, G14, G19
Suggested Citation: Suggested Citation