期刊名称：Discussion Papers / School of Business, University of New South Wales
出版年度：2008
卷号：2008
出版社：Sydney
摘要：We propose a new class of investable momentum and contrarian stock-market indices
that partition a benchmark index, such as the Russell 1000. Our momentum indices
overweight stocks that have recently outperformed, while our contrarian indices underweight
these same stocks. Our index construction methodology is extremely flexible, and
allows the index provider to trade-off the distinctiveness of the momentum/contrarian
strategies with portfolio turnover. Momentum investment styles in particular typically
entail a high level of turnover, and hence high associated transaction costs. The creation
of momentum and contrarian indices and exchange traded funds (ETFs) based on our
methodology would allow investors to access these styles at lower cost than is currently
possible. Our indices also provide performance benchmarks for momentum/contrarian
investment managers, and good proxies for a momentum factor. Over the period 1995-
2007 we find that short term momentum and long term contrarian indices outperform
the reference Russell 1000 index. We also document the changing interaction between
the momentum/contrarian and value/growth styles.
