A Value-Momentum Trading Strategy Using Selective Equity Screening Criteria

Investors and money managers are constantly looking for a trading strategy that can help them outperform the market. These strategies usually are constructed from fundamental analysis that help money managers select the best value stocks for their portfolios. Hence, the task of finding common features of winning stocks is highly important. These common features are usually represented in terms of fundamental data. The purpose of this paper is to reexamine Yu (2009)'s four-factor trading strategy, which is based on Reinganum (1988)'s original four-factor strategy, on the S&P 500 stocks, and to develop a new profitable trading strategy based on updated value and momentum factors.