Are Momentum Profits Robust to Trading Costs

By Robert A. Korajczyk, Ronnie Sadka. 2004

610 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/0004d38aa501306e2719e4d0413dcb5c788676b1

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Citations in the corpus

A Transaction-Cost Perspective on the Multitude of Firm Characteristics (2020, neutral): “However, for large investors a common assumption is that their price impact is linear on the amount traded, and thus, they face quadratic transaction costs; see, for instance, Korajczyk and Sadka (2004).”
Currency Momentum Strategies (2012, neutral): “…(Avramov, Chordia, Jostova, and Philipov, 2007) or bankruptcy risk (Eisdorfer, 2008), limits to arbitrage (e.g. Chabot, Ghysels, and Jagannathan, 2009), behavioral explanations such as investor under-reaction (e.g. Chui, Titman, and Wei, 2010), or high transaction costs (Korajczyk and Sadka, 2004).”
Is momentum really momentum (2012, background): “The fact that Fortune 500 companies exhibit strong momentum suggests that properly designed momentum strategies are profitable on a greater scale than that estimated by Korajczyk and Sadka (2004) and that the trading cost critique of Lesmonda, Schill, and Zhou (2004) is significantly overstated.”
Fact, Fiction, and Value Investing (2015, neutral): “For value, a leading story, originally suggested by DeBondt and Thaler [1985] and Lakonishok et al. [1994] and later formalized by Daniel et al.”
A Taxonomy of Anomalies and Their Trading Costs (2014, background): “Korajczyk and Sadka (2004) consider the price impact of trading momentum, and conclude that it would only be profitable to trade on a very small scale.”
Liquidity and the Post-Earnings-Announcement Drift (2009, methodology): “Specifically, we use the transaction-cost estimates of Keim and Madhavan (1997), Korajczyk and Sadka (2004), and Chen, Stanzl, and Watanabe (2004) in a dynamic framework to estimate net returns based on a strategy that buys the high-earnings-surprise stocks and sells the low-earnings-surprise…”
The Cross-Section of Stock Returns in Frontier Emerging Markets (2012, neutral): “Note that we assume the same transaction costs for each of the 150 largest stocks in our sample, while it could be the case that, e.g., momentum stocks are more expensive than the average stock (see, e.g., Korajczyk and Sadka (2004) and Lesmond, Schill, and Zhou (2004)).”