Are Momentum Profits Robust to Trading Costs?
Momentum and trend following, studied by Korajczyk and Sadka in 2002. The abstract mentions profits and transaction costs but not a benchmark, an out-of-sample test, multiple testing or the size of the universe.
“We find that, after taking into account the price impact induced by trades, as much as 5 billion dollars (relative to December 1999 market capitalization) may be invested in some momentum-based strategies before the apparent profit opportunities vanish.”
StrategyMomentum
ClaimProfit
Also stated: costs
Missing from abstract: benchmark, out-of-sample test, multiple testing, universe
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