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(2004) revisit the work of Jegadeesh and Titman (1993, 2001) and Hong, Lim and Stein (2000) and more vigorously examine the impact of transaction costs on their documented abnormal momentum returns. Lesmond et al. (2004)

suggest that transaction costs for most strategies examined are generally north of 1.5% per trade, substantially higher than the 0.5% suggested by Jegadeesh and Titman (1993). These results lead the authors to conclude that these higher trading costs wipe out most if not all of the abnormal returns realized from the momentum strategy. Korajczyk and Sadka (2004) also research the impact of transaction costs on abnormal returns for a set of common momentum-based strategies and generally find that about half of the momentum abnormal return goes away after consideration of transaction costs.


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