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Momentum returns in bull and bear market states

Please use this identifier to cite or link to this item: http://hdl.handle.net/1959.14/135720

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Title: Momentum returns in bull and bear market states
Related: Higher Degree Research Expo (6th : 2010) (19 November 2010 : Sydney)
Related: Expo 2010 Higher Degree Research : book of abstracts, p.42-43
Related: http://www.businessandeconomics.mq.edu.au/research_expo/website_administration/2010_expo_presenter_profiles2/kevin_jameson
Publisher: North Ryde, N.S.W : Faculty of Business and Economics, Macquarie University
Date: 2010
Author/Creator: Jameson, Kevin
Description: Purpose: Investigate the behaviour of the cross-sectional stock momentum anomaly in market states. Originality: Methodological setup designed for a more thorough treatment of the topic than existing literature: • Demonstration that market state definition in common use is flawed and results in spurious conclusions, and implementation of an alternative measure; • Examination of role of market state both before and after formation; • Define momentum strategies in a form that allows market states to be uniquely assigned, and which avoid econometric problems described in the literature; • Risk adjustment that respects the inherently time-varying nature of momentum returns. Key literature / theoretical perspective: Motivated by literature seeking to explain momentum anomaly within risk-based or behavioural frameworks. Design/methodology/approach: See “Originality” above. Findings: In contrast to a body of prior literature, momentum returns are not strongly linked to market state; Momentum returns are linked to turning points. Research limitations/implications: Findings reduce support for certain behavioural explanations of momentum anomaly. Practical and Social implications: Implications for practitioner implementation of momentum strategies.
Description: 2 page(s)
Subject Keyword: momentum
Subject Keyword: market states
Subject Keyword: behavioural finance
Resource Type: conference paper abstract
Organisation: Macquarie University. Applied Finance Centre

Identifier: http://hdl.handle.net/1959.14/135720
Identifier: ISSN:1837-9214
Identifier: mq-rm-2010005393
Language: eng

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