Momentum in Irish stocks: Evidence from the credit crisis

Cormac O'Keeffe, Liam A. Gallagher

Research output: Contribution to journalArticlepeer-review


This article examines return momentum in Irish shares over a 24-year period, including the recent credit crisis. The optimal momentum strategy generates significant risk-adjusted abnormal returns that are robust to the return generating model and seasonal effects. The extent of underreaction is more symmetrical than previous research has indicated, with both past winners and losers contributing to momentum returns. Momentum is found to be significantly higher in the pre-credit crisis period. The source of the positive returns in the momentum strategy changes from the winner portfolio to the loser portfolio as we move into the credit crisis, with this latter period showing positive but insignificant moment returns.

Original languageEnglish
Pages (from-to)717-722
Number of pages6
JournalApplied Economics Letters
Issue number11
Publication statusPublished - Jul 2014


  • abnormal performance
  • credit crisis
  • momentum
  • seasonality


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