Time-varying expected momentum profits

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dc.contributor.authorKim, Dongcheolko
dc.contributor.authorRoh, Tai-Yongko
dc.contributor.authorMin, Byoung-Kyuko
dc.contributor.authorByun, Suk-Joonko
dc.date.accessioned2015-04-07T05:06:42Z-
dc.date.available2015-04-07T05:06:42Z-
dc.date.created2015-02-24-
dc.date.created2015-02-24-
dc.date.issued2014-12-
dc.identifier.citationJOURNAL OF BANKING & FINANCE, v.49, pp.191 - 215-
dc.identifier.issn0378-4266-
dc.identifier.urihttp://hdl.handle.net/10203/195273-
dc.description.abstractThis paper examines the time variations of expected momentum profits using a two-state Markov switching model with time-varying transition probabilities to evaluate the empirical relevance of recent rational theories of momentum profits. We find that in the expansion state the expected returns of winner stocks are more affected by aggregate economic conditions than those of loser stocks, while in the recession state the expected returns of loser stocks are more affected than those of winner stocks. Consequently, expected momentum profits display strong procyclical variations. We argue that the observed momentum profits are the realization of such expected returns and can be interpreted as the procyclicality premium. We provide a plausible explanation for time-varying momentum profits through the differential effect of leverage and growth options across business cycles.-
dc.languageEnglish-
dc.publisherELSEVIER SCIENCE BV-
dc.subjectSTOCK RETURNS-
dc.subjectBUSINESS-CYCLE-
dc.subjectCROSS-SECTION-
dc.subjectINFORMATION UNCERTAINTY-
dc.subjectTRADING STRATEGIES-
dc.subjectASSET RETURNS-
dc.subjectREAL ACTIVITY-
dc.subjectCOMMON-STOCK-
dc.subjectINFLATION-
dc.subjectMARKET-
dc.titleTime-varying expected momentum profits-
dc.typeArticle-
dc.identifier.wosid000347576400015-
dc.identifier.scopusid2-s2.0-84908368234-
dc.type.rimsART-
dc.citation.volume49-
dc.citation.beginningpage191-
dc.citation.endingpage215-
dc.citation.publicationnameJOURNAL OF BANKING & FINANCE-
dc.identifier.doi10.1016/j.jbankfin.2014.09.004-
dc.contributor.localauthorByun, Suk-Joon-
dc.contributor.nonIdAuthorKim, Dongcheol-
dc.contributor.nonIdAuthorMin, Byoung-Kyu-
dc.type.journalArticleArticle-
dc.subject.keywordAuthorMomentum-
dc.subject.keywordAuthorTime-varying expected returns-
dc.subject.keywordAuthorMarkov switching regression model-
dc.subject.keywordAuthorBusiness cycle-
dc.subject.keywordAuthorProcyclicality-
dc.subject.keywordAuthorGrowth options-
dc.subject.keywordPlusSTOCK RETURNS-
dc.subject.keywordPlusBUSINESS-CYCLE-
dc.subject.keywordPlusCROSS-SECTION-
dc.subject.keywordPlusINFORMATION UNCERTAINTY-
dc.subject.keywordPlusTRADING STRATEGIES-
dc.subject.keywordPlusASSET RETURNS-
dc.subject.keywordPlusREAL ACTIVITY-
dc.subject.keywordPlusCOMMON-STOCK-
dc.subject.keywordPlusINFLATION-
dc.subject.keywordPlusMARKET-
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