Profitability of Momentum Strategies: Empirical Evidence from Vietnam

Abstract

The paper investigates short-term momentum in the Vietnamese stock market based on weekly return data. The research shows that momentum strategies provide significant positive profits by implementing the strategies based on stock returns over the prior four, eight, or 13 weeks and held for a post period of one, four, eight, or 13 weeks. If momentum occurs in returns on all-sample stocks, it also appears within big-size stocks and medium-size stocks. The conventional risk-factors are unable to explain momentum profit. The profitability of the momentum strategy is due to time-series patterns in returns. The paper employs Bayesian statistical method in which heavy-tailed distribution is used to describe the data to handle outliers instead of normal distributions.