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- Title
Evidence of Momentum in Newsletter Recommendations.
- Authors
CRAWFORD, GEORGE; KRAUSE, ALEX; JIM KYUNG-SOO LIEW
- Abstract
The authors study a database of investment newsletter performance since 1980, and find that the top newsletters consistently outperform the bottom newsletters when a one- to six-month look-back period is employed. They find that dynamically allocating to "winning" newsletter recommendations and shorting "losing" newsletter recommendations is both economically and statistically significant. The long/short quintile sorted portfolios employing prior monthly returns from newsletters, generating gross-of-cost annualized returns of 11.1% with t-statistics of 2.94. Notably, this positive performance comes packaged with a negative and statistically significant CAPM's beta the "holy-grail" investment strategy. Moreover, this relationship of negative CAPM's beta coupled with positive Jensen's Alpha has persisted over many years. These results extend the growing body of momentum literature to include newsletter investing.
- Subjects
DATABASES; INVESTMENT newsletters; BUSINESS journalism; INVESTMENT policy; INVESTMENTS
- Publication
Journal of Alternative Investments, 2013, Vol 16, Issue 2, p96
- ISSN
1520-3255
- Publication type
Article
- DOI
10.3905/jai.2013.16.2.096