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Investor Overconfidence and Momentum Effects:

A Comparative Study with Stocks

Zi Ning*

Department of Finance, University of Texas at San Antonio

Nicolas Gressis

Department of Finance, Wright State University

September 2006

*Corresponding author. College of Business, One UTSA Circle, San Antonio, TX


78249-1644. Tel.: 210-458-7392; E-mail: zi.ning@utsa.edu
Directional Momentum Strategies: A Comparative Study with Stocks

Abstract

There is substantial evidence of short-term stock price momentum that is linked to


investor behavioral biases. Different from previous momentum literature, this study
considers not only the prior quarterly returns but also the patterns of monthly returns
within specific quarter. With a focus on “winners” only, this paper investigates how
return movements within a quarter affect the expectations of investors and thus the firms’
returns for the subsequent quarter. The evidence shows that there is indeed a
differentiation of the new momentum strategies from the traditional momentum stock
selection strategy. Momentum strategies that exhibit accelerating monthly returns seem to
be most profitable over the entire 18-year period. However, a more minute examination
of the results shows that the highest returns are generated from the late 1990s, when the
whole market is experiencing what is called “irrational exuberance”. The results support
the overreaction theories of short-run momentum. Also, the study provides additional
evidence that momentum effects are closely related to investors’ psychology.

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I. INTRODUCTION

An extensive range of literature has documented that the stock returns are

predictable based on their past returns. Particularly, stock returns exhibit positive serial

correlation (momentum) at 3 to 12 month horizons (Jegadeesh & Titman 1993, 2001;

Chan et al., 1999). Jegadeesh and Titman (1993, 2001) report that trading strategies of

buying past winners and selling past losers realize significant positive returns over the

period of 1965-1998, with an excess return of about 1% per month.

Momentum has also been shown to be robust across international financial

markets (Rouwenhorst 1998; Griffin et al. 2002). For example, Rouwenhorst (1998)

shows that the equity markets in 12 European countries exhibit intermediate-term (3 to 12

months) return continuation from 1980 to 1995. A diversified portfolio of past medium-

term winners outperforms a portfolio of medium-term losers by more than 1 percent per

month after adjusting for risk.

However, there are substantial debates on the profitability of momentum, as well

as the sources of momentum returns. To date, no measures of risk have been found that

completely explain the profitability of momentum strategies. A number of authors have

found that a three-factor asset pricing model cannot explain the returns of the short-term

momentum but only the long-term reversal (Fama and French 1996; Grundy and Martin

2001; Lee and Swaminathan 2000). The persistence of intermediate-term momentum is

deemed as one of the most serious challenges to the asset-pricing literature.

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Korajczyk & Sadka (2004) find that transaction costs, in the form of spreads and

price impacts of trades, reduce but do not fully eliminate the return persistence of past

winner stocks. Chordia and Shivakumar (2002) show that macroeconomic instruments

for measuring market conditions can explain a large portion of momentum profits. They

argue that inter-temporal variations in the macroeconomic factors, such as dividend yield,

default spread, term spread, and short-term interest rates, are the main sources of

momentum profits. However, Cooper et al. (2004) find that the macroeconomic

multifactor model is not robust to common screens used to diminish microstructure-

induced biases.

Additionally, Lee and Swaminathan (2000) show that trading volume plays a role

in the profits to momentum strategies. Grinblatt and Moskowitz (2003) conclude that tax

environments affect the profits to momentum.

In recent years, several behavioral and cognitive biases theories have been

developed to jointly explain the short-run momentum in stock returns. Some claim that

momentum profits arise because of inherent biases in the way investors interpret

information (DeBondt & Thaler, 1985; Daniel et al.,1998; Hong & Stein, 1999).

Other authors claim that momentum in stock returns is related to the market’s

under-reaction to earnings-related information (Latane and Jones, 1979; and Bernard et

al., 1995; Chan et al., 1996, 1999). For instance, firms reporting unexpectedly high

earnings outperform firms reporting unexpectedly poor earnings. The market incorporates

the news in stock prices gradually, so prices exhibit predictable drifts. These drifts last for

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up to a year (Chan et al., 1999). Barberis et al. (1998) also demonstrate that momentum

profits arise because investors under-react to ranking period information.

Contrary to the under-reaction theory, Daniel at al. (1998) report that the

momentum effect comes from the continuing overreaction of informed investors. When

the direction of the market is upwards, traders’ overconfidence is boosted. Their model

predicts that momentum profits are stronger following bull markets, which are attributed

to the psychological biases of traders.

Cooper et al. (2004) show that the profits from momentum strategies are tightly

linked to the state of the market. Overreactions become stronger following up markets

generating greater momentum in the short run. A momentum portfolio is profitable only

following periods of market gains, consistent with the overreaction models of Daniel et

al. (1998) and Hong and Stein (1999).

Intuitively, momentum effects should become even stronger if the overall market

is overconfident, such as the unusual years of the burst of High-tech bubble. During that

period, investors in general (both informed and uninformed) should be overoptimistic and

overreact to positive information. We thus should expect to observe stronger momentum

over that period. Using data from 1982 to 2000, the findings of this study are consistent

with such assumptions.

Also, in previous studies, it is usually the case that stock behaviors are examined

on a one-quarter or two-quarter basis. In order to better capture the ideas of momentum,

this study categorizes the momentum strategies into those that are with and without

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accelerating monthly returns within a quarter. Intuitively, momentum strategies with

accelerating monthly returns should convey more positive information for investors and

thus drive up the momentum returns. The evidence shows that this is exactly the case.

Using S&P 500 index as a benchmark, momentum strategies with accelerating monthly

returns are the obvious winners over the last sub-period, from 1996-2000. Yet, there is no

distinct difference in terms of returns among the four momentum strategies over the

period from 1982 to 1996 and S&P 500 index. It appears that an over-optimistic market

tends to drive up the momentum effects. Such findings indicate that psychological factor

is closely linked to the momentum effects.

The remainder of the paper is organized as follows: Section II provides a brief

description of data, sample, and methodology, the stock selection rules defined,

compared and contrasted. Section III documents the findings and analysis. Section IV

concludes the paper.

II. METHODOLOGY

RATIONALE

In the prior momentum studies, it is very common that all stocks are ranked into

deciles of stocks based on their past 3-month or 6-month rate of return compound return.

However, such ranking may not catch the essence of momentum in that stocks may

exhibit different degrees of momentum within the formation period. The traditional

momentum approach assumes that all stocks in the decile portfolio are homogeneous in

momentum, which may increase the probability of losing economically significant

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information. Intuitively, the patterns of momentum within the formation period should

differentially affect investors’ expectations (Akhbari et al., 2006).

Let’s illustrate above arguments graphically. Here, it is necessary to out that only

stocks with positive return in the past quarter are considered. Let the sequence of intra-

quarter security prices be P0, P1, P2 where P0 (P2) is the beginning (end) of quarter

price.

Figure 1. The possible patterns of monthly returns that produce the same quarterly return are illustrated.

Intuitively, patterns 2 and 3 do not reflect the momentum idea in terms of trend

continuation. Thus, although all three price patterns produce the same quarterly return,

investors are likely to have more preferences patters 1 over patterns 2 and 3 in that

pattern 1 denotes more positive information. In addition to positive ROR, the monthly

returns are all positive. Figure 2 provides a more detailed illustration of pattern 1.

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Figure 2. Intra-formation period monthly return sub-patterns.

Intuitively, price acceleration over time should be a desirable feature for

momentum investors. Thus, in figure 2, the first sub-pattern is likely more attractive than

the other sub-patterns. The investors will expect on average higher subsequent returns

from securities exhibiting this sub-pattern than from the others. The primary goal of this

paper is to find out if the portfolio consisting of stocks selected by such investment

strategy generates above the average returns in a bull market. An appealing feature of this

study is that it considers not only momentum upon formation period but also the intra-

quarterly changes of the price patterns within the formation period as applied to the

construction of common stock portfolios.

This study limits the analysis to winners alone, referring to those stocks with the

highest rate of return (ROR). The existing literature indicates that a larger share of the

abnormal returns (without trading costs) to the long/short strategy is due to the short

positions in past losers. Thus, before trading costs, winners-only investing strategy is

conservative, as it leads to lower abnormal returns (Korajczyk & Sadka, 2004).

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SAMPLE CONSTRUCTION

The stocks are selected and evaluated on a quarterly basis. The sample data comes

from the Center for Research in Security Prices (CRSP) database. Both the CRSP

monthly and quarterly returns files are used, which included all domestic, primary stocks

listed on the New York (NYSE), American (AMEX), and Nasdaq stock markets. All

stocks priced below $10 are excluded at the beginning of the holding period so as to

ensure that “the results are not driven primarily by small and illiquid stocks or by bid-ask

bounce” (Jegadeesh and Titman, 2001).The deletion of low-priced stocks also lower the

magnitude of the sample variability. The data extends from October 1982 to September

2000, totally 72 quarters. The following is a description of the working procedures.

First, at the end of each quarter, all stocks are ranked in ascending order on the

basis of their compound returns in the past 3 months. Then, stocks are selected based on

the four selection rules describe below. The top ten stocks that meet the requirement for

each strategy are grouped into one of the four portfolios accordingly. Thus, a total of

forty stocks are selected in each quarter. The selection rules are not easily met

particularly for strategy D. Portfolios are rebalanced for each quarter. Very likely

another forty stocks are selected for the subsequent quarter. There are a total of 288

portfolios over the study period. Each portfolio is held for three months, following the

ranking quarter. The average mean of quarterly returns are calculated and reported for

each portfolio/strategy for the subsequent quarter.

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STOCK SELECTION RULES

Four stock selection rules are discussed here, namely, strategies A, B, C and D.

A. Strategy A

According to this traditional momentum strategy, stocks are ranked from top to

bottom based on its past quarterly compound return. Mathematically, the strategy can

be expressed as follows

Max(1+Rt-1)(1+Rt-2)(1+Rt-3)

where Rt-i ( i=1,2,3) is the return on a stock in the past three months. Simply put,

portfolio A comprises the ten stocks with the largest ranking period returns.

B. Strategy B

For this specific strategy, inequality ratios imply that the chosen stock’s price

undergoes acceleration in certain months during the past quarter. It can be

mathematically written as

Max(1+Rt-1)(1+Rt-2)(1+Rt-3)

subject to

1 + Rt − 1 1 + Rt − 2
Rt-1> 0, Rt-2> 0, Rt-3> 0 and > 1, >1
1 + Rt − 2 1 + Rt − 3

C. Strategy C

In this case, it is assumed that more recent return movements convey more

information than less recent ones. Hence, investors pay more attention to Rt-1 and Rt-2

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than to Rt-3 and, who would prefer to select the stock that exhibits price acceleration

over the two most recent months. Mathematically, this strategy is shown as follows

Max(1+Rt-1)(1+Rt-2)(1+Rt-3)

subject to

1 + Rt − 1
Rt-1> 0, Rt-2> 0, Rt-3> 0 and >1
1 + Rt − 2

D. Strategy D

This strategy selects only stocks with increasing monthly price acceleration over the

past three months. It is the most difficult one to implement due to the strict selection

criteria. It is expressed as follows

Max(1+Rt-1)(1+Rt-2)(1+Rt-3)

subject to

1 + R t − 1 1 + Rt − 2
Rt-1> 0, Rt-2> 0, Rt-3> 0 and > >1
1 + Rt − 2 1 + Rt − 3

After the first round of screening, stocks that meet the criteria of particular

strategy are put into the appropriate portfolio accordingly. It is found that the ROR for

some stocks are missing in the subsequent quarter. Thus, the prices and returns of the

delisted stocks are obtained from CRSP individually. Very likely, those companies have

been either merged by other companies or simply went bankrupt. For all strategies other

than Strategy A, if less than 10 stocks meet the requirements, a certain percentage of

money would be invested in 3-month U.S. treasury bills. This situation is most likely to

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happen in strategy D. Lastly, the mean returns of strategy portfolios are calculated, in

which way comparisons can be made among the four momentum strategies.

III. RESULTS

RAW RETURNS

This section documents the returns of the strategy portfolio described in the

previous section. Table I reports the mean, or the subsequent “realized” quarterly returns

from following each of the four momentum strategies over the 72 periods. It is

emphasized that the decision on which stock to invest in is made every quarter based on

return information provided by the previous three months.

The basic assumption in all computations is that at the beginning of each quarter

studied the investor puts an equal amount of money, supposed $1 into each common

stock, under the assumption that all dividends are reinvested in the month paid.

Table I presents terminal value over the post-formation period, which shows the

evolution of wealth over the entire sample period and the sub-periods. The findings

suggest that almost all momentum strategies (with the exception of strategy C)

outperform the market.

Particularly, the analysis is motivated by the fact that typical momentum strategy

with accelerating monthly returns (strategy B) prove to be very profitable over the 18-

year period. Supposed we put $1 at the beginning of holding period, we would have

received nearly $25 by the end of holding period, more than double of the returns from

S&P 500 portfolios.

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Table I

Terminal Value of $1 Invested in Momentum Strategy Portfolios by Periods

The momentum strategy portfolios are formed based on 3-month lagged returns and held for 3 months. The
stocks are ranked in ascending order on the basis of 3-month lagged returns. The momentum strategy
portfolios are formed immediately after the lagged returns are measured for the purpose of portfolio
formation. The terminal value of $1 invested in portfolios for strategies A, B, C and D are presented in this
table. The sample period is October 1982 to September 2000.

Strategy A Strategy B Strategy C Strategy D S&P500


Panel A
1982.10-2000.9 15.91 24.75 9.80 14.66 11.93
Panel B
1982.10-1991.9 2.41 2.24 2.28 2.41 3.22
1991.10-2000.9 6.59 11.04 4.29 6.09 3.70
Panel C
1982.10-1987.3 1.47 1.59 1.40 2.17 2.42
1987.4-1991.9 1.64 1.41 1.63 1.11 1.33
1991.10-1996.3 4.81 2.86 3.47 2.80 1.66
1996.4-2000.9 1.37 3.87 1.24 2.17 2.23

Figure 3-9 visually illustrates the performance of momentum portfolios over the

18-year period, the two 9-year sub-periods and four 4.5-year sub-periods.

Terminal Value of $1 Invested from 1982.10-2000.9


Terminal Value of $1 Invested

30
25
20
15
10
5
0
82

84

85

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Time

Strategy A Strategy B Strategy C Strategy D Return S&P

Figure 3. The cumulative return for strategy A, B, C, D and S&P over the entire 18-year period.

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Terminal Value of $1 Invested from 1982.10-1991.9
Terminal Value of $1 Invested

3.5
3
2.5
2
1.5
1
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Time

Strategy A Strategy B Strategy C Strategy D Return S&P

Figure 4. The cumulative return for strategy A, B, C, D and S&P for the first 9-year sub-period.

Terminal Value of $1 Invested from 1991.10-2000.9


Terminal Value of $1 Invested

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Time

Strategy A Strategy B Strategy C Strategy D Return S&P

Figure 5. The cumulative return for strategy A, B, C, D and S&P for the second 9-year sub-period.

Figures 6-9 revisit the comparative wealth behavior of the momentum strategies

under consideration over four intervals.

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Terminal Value of $1 Invested From 1982.10-1987.3

3
Terminal Value of $1 Invested

2.5

1.5

0.5

0
82

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Time

Strategy A Strategy B Strategy C Strategy D Return S&P

Figure 6. The cumulative return for strategy A, B, C, D and S&P for the first 4.5-year sub-period.

Terminal Value of $1 Invested from 1987.4-1991.9

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Terminal Value of $1 Invested

1.5

0.5

0
1987 1987 1988 1988 1989 1989 1990 1990

Time

Strategy A Strategy B Strategy C Strategy D Return S&P

Figure 7. The cumulative return for strategy A, B, C, D and S&P for the second 4.5-year sub-period.

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Term inal Value of $1 Invested from 1991.10-1996.3

6
Terminal Value of $1 Invested

0
1991 1992 1993 1994 1994 1995
Time

Strategy A Strategy B Strategy C Strategy D Return S&P

Figure 8. The cumulative return for strategy A, B, C, D and S&P for the third 4.5-year sub-period.

Terminal Value of $1 Invested from 1996.4-2000.9

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Terminal Value of $1 Invested

0
1996 1996 1997 1997 1998 1998

Time

Strategy A Strategy B Strategy C Strategy D Return S&P

Figure 9. The cumulative return for strategy A, B, C, D and S&P for the fourth 4.5-year sub-period.

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The sub-period evidence gives a better picture of the performances of momentum

strategies under study. Generally speaking, strategy B has an outstanding performance

over the entire sample period. However, over the first sub-period from 1982-1991, all

momentum strategies produce progressively inferior wealth performance relative to S&P

500 portfolio. Over the second sub-period from 1991-2000, strategy B and D are the clear

winners, which perform much better than strategy A, C and S&P 500 portfolio.

As the attention is drawn to the shorter time intervals, we find that it is over the

sub-period from 1996-2000 that has a significant influence on the terminal wealth of all

investing strategies. Typical momentum strategy B substantially outperform S&P500

index.

Such findings are not coincident. In a no-load mutual fund study done by Akhbari

et al. (2006), similar portfolio construction strategies are employed. It is found that only

in the past few years of the 1990s, when the stock market bubble burst, did the

momentum strategy B clearly exhibit superior performance. Both evidences from the no-

load mutual funds and stocks confirm the hypothesis that momentum effects are at least

partially related to investor behaviors.

RISK-ADJUSTED RETURNS

The Jensen-alpha

The model that is being adopted to incorporate risk is the standard Sharpe-Lintner

Capital Asset Pricing Model (CAPM) (1967). The risk-adjusted returns are estimated as

the intercepts from the following model regression:

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R - F = α + β (M – F) + ε

where R is the return on the portfolios under consideration, M is the market index, F is

the risk-free rate, α is the excess stock return and ε is the residual rate of return. I

In evaluating the performance of the momentum strategies, the S&P 500 portfolio

is used as the benchmark. The related variables in this study are defined as: R is the

quarterly rate of return for portfolio A, B, C and D, F is the three-month U.S. Treasury

bill rate constructed from one-month bill rates, M is the S&P 500 portfolio rate of return.

The models are estimated by regressing the mean of returns for each holding

period for strategies A, B, C and D separately. Table IV shows the estimation results for

each portfolio for the 18-year horizon.

Table II

CAPM Regressions Explain Quarterly Excess Returns on Momentum Strategies.

This table reports the risk-adjusted returns of momentum portfolios based on strategy A, B, C and D. This
table reports the intercepts from Jensen CAPM alpha. The sample period is October 1982 to September
2000. The t statistics are reported in parentheses.

Jensen Alpha Beta


Strategy A 0.059 -0.494
(1.92) (-1.24)
Strategy B 0.048 - 0.176
(2.19) (-0.62)
Strategy C 0.037 -0.071
(1.49) (-0.22)
Strategy D 0.039 -0.158
(1.92) (-0.60)

For strategies A and D, the estimated α is positive and significant at the 10 %

level. For strategy B, it is highly significant at 5% level. All the βs are slightly negative,

but none of them is statistically significant.

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Several reasons may explain the result. First, the stock market is extremely

volatile and heterogeneous than mutual funds. Second, stocks that exhibit momentum

may catch more attention from investors, creating more volatility. They are affected by

such short- term macro-economy variables such as interest rate, federal money dealing,

and fiscal policy that affect all securities as well as some internal indicators such as the

company’s profits and sales, day-by-day performance, and analyst report. As more

attention is being paid, investors may overreact to these factors. Lastly, the small sample

size might also be a reason. The strategy portfolios consisted of only 10 stocks out of

4,000 to 6,000 stocks in each quarter and the sample is not very typical; whereas, the

S&P 500 portfolio better represents the whole market performances considering its large

sample size. One major reason that limit us from constructing portfolios with more stocks

is due to the strict stock selection rules applied to strategy D.

IV. CONCLUSION

Optimism is contagious. The late 1990s are certainly a period of over- optimism

in the US. General investors tend to overreact to positive information, such as stocks with

positive returns, particularly those with accelerating returns.

This study applies the concept of patterned momentum to stocks, assuming

monthly price movements within a quarter contains valuable importation. Reasonably,

the intra-formation period return behavior differentially influences investors’

expectations.

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The results indicate that the recent record of stock prices do project future prices

and produce generous profits over the 18-year period from 1982-2000. The more nuanced

classification of recent return performance differentiates among alternative price growth

patterns. The findings show that the year of 1996-2000 is a critical period that typical

momentum strategy performs best, when the whole market is experiencing “irrational

exuberance”.

This paper contributes to the current literature by demonstrating the psychological

aspect of momentum effect, which is consistent with the over-reaction models of Daniel

et al. (1998) and Hong and Stein (1999).

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