Momentum Investing And Business Cycle Risk : Evidence From Pole to Pole  

Oleh:

Griffin, John M. ; Xiuqing, Ji ; Martin, J. Spencer

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 58 no. 6 (2003), page 2515-2548.
Topik: momentum; studies; business cycles; macro economics; risk; economic models. investment; securities markets
Fulltext: p 2515.pdf (287.14KB)

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Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ88 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

We examine whether macroeconomic risk can explain momentum profits internationally. Neither an unconditional model based on the chen, roll and ross (1986) factors nor a conditional forecasting model based on lagged instruments provides any evidence that macroeconomic risk variables can explain momentum. In addition, momentum profits around the world are economically large and statistically reliable in both good and bad economic states. Further, these moemntum profits reverse over 1 to 5 year horizons, an action inconsistent with existing risk - based explanations of momentum.

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