Analysis of Business Week Hot-Growth Stocks: Momentum and Fundamental Investment Approaches

Journal of Asset Management, 2009

Posted: 29 Dec 2008 Last revised: 11 Jan 2011

See all articles by Susana Yu

Susana Yu

Iona College

Sang-Hoon Kim

affiliation not provided to SSRN

Date Written: September 28, 2008

Abstract

This paper extends Bauman, Conover, and Cox (2002) and investigates the risk-adjusted returns for the first-timers and repeaters of the Business Week hot-growth stocks. Chan, Jegadeesh, and Lakonishok's (1996) short-term six-month momentum model provides significant returns for the first-timers as well as for stocks that had already appeared on the list at least once, the repeaters. On the other hand, Mohanram's (2005) fundamental model provides significant returns for the repeaters only. A portfolio formed by purchasing the repeaters and short selling the first-timers generates significant returns in ten out of twelve months after publication. We conclude that profitable long/short portfolios can be implemented on these growth stocks in addition to the short-only strategy as implied in Bauman et al (2002).

Keywords: Market Efficiency, Momentum

JEL Classification: G11, G14

Suggested Citation

Yu, Susana and Kim, Sang-Hoon, Analysis of Business Week Hot-Growth Stocks: Momentum and Fundamental Investment Approaches (September 28, 2008). Journal of Asset Management, 2009, Available at SSRN: https://ssrn.com/abstract=1321307

Susana Yu (Contact Author)

Iona College ( email )

715 North Avenue
New Rochelle, NY 10801
United States

Sang-Hoon Kim

affiliation not provided to SSRN

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