Global Momentum Strategies: A Portfolio Perspective

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

doi:10.2139/ssrn.492804

Cited by 30 publications

(22 citation statements)

References 24 publications

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“…However, the smallest return for down markets (2.36%) is larger than the highest one for up markets and the returns for down markets go as high as 3.69%. 19 This result is consistent with Griffin et al (2005) for the US market who use macroeconomic criteria for sample splits.…”

Section: Resultssupporting

confidence: 70%

Market states, expectations, sentiment and momentum: How naive are investors?

Galariotis

Holmes

Kallinterakis

et al. 2014

International Review of Financial Analysis

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Following Cooper et al (CGH) 2004 we test whether market states are relevant for predicting UK momentum profits. However, rather than simply categorising up/down markets based on actual prices as CGH, we suggest investors may view expectations and/or sentiment as important. Contrary to the findings for the US, we find that momentum returns are not related to CGH-defined market states. Similar findings hold for an expectations-based split. In contrast, for the whole sample period, construction and retail sentiment indicators explain differences in momentum profits. However, robustness tests suggest their explanatory power is driven by the post-subprime crisis period.JEL Classification: G1 (G10, G14)

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Section: Resultssupporting

confidence: 70%

Market states, expectations, sentiment and momentum: How naive are investors?

Galariotis

Holmes

Kallinterakis

et al. 2014

International Review of Financial Analysis

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“…Chui et al (2010) implemented j6k6 price mo mentum strategy while examining 55 stocks markets from across the globe. Similarly Hong et al (2003) and Griffin et al (2005) constructed momentum portfolios using j6k6 price momentum strategy to examine the stock markets of 12 countries and 40 countries respectively.…”

Section: Construction Of J6k6 Price Momentum Strategymentioning

confidence: 99%

“…Griffin et al (2005) wrote a paper "Global Momentum Strategies: A Portfolio Perspective". They dis covered momentum effect in all countries included in the sample.…”

Section: Introductionmentioning

confidence: 99%

Short-Term Momentum Effect: a Case of Middle East Stock Markets

Ejaz

Polák

2015

Business: Theory and Practice

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Abstract. The objective of this paper is to find short term momentum effect in stock markets of the Middle East and to examine whether short term momentum profits can be explained by risk based CAPM model. Seven major stock markets from the Middle East were selected. Short term momentum effect was found in all seven stock markets and CAPM does not adequately explain the short term momentum profits but momentum portfolio returns are statistically significant. This paper is first attempt to bring major stock markets of the Middle East together and examine them for the short term momentum effect phenomenon. Future research should include more stock markets in order to have a better understanding of Middle Eastern stock markets.

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“…Turning to momentum in Taiwan, early research normally do not detect momentum in Taiwan nor in most Asian markets (e.g., Rouwenhorst, 1999;Hameed and Yuanto, 2002;Chui et al, 2003;Griffin et al, 2005). Recently, however, Fu and Wood (2010) report that seasonality is the reason for the lack of momentum throughtout whole years in Taiwan.…”

Section: Introductionmentioning

confidence: 99%

The Role of Industry Effect and Market States in Taiwanese Momentum

Fu¹

2016

International Journal of Financial Research

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A prior research detects significant seasonal Taiwanese momentum. In this follow-up analysis, I report the seasonal momentum can neither be interpreted by the industy effect suggested by Moskowitz and Grinblatt (1999), nor the market state effect proxy for either overreaction suggested by Daniel et al. (1998) or gradual dessenmination of informationby by Hong and Stein (1999). Note, however, that the industry effect does explain about 40% of the profitability of the Taiwaneses momentum.

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Global Momentum Strategies: A Portfolio Perspective

Cited by 30 publications

References 24 publications

Market states, expectations, sentiment and momentum: How naive are investors?

Market states, expectations, sentiment and momentum: How naive are investors?

Short-Term Momentum Effect: a Case of Middle East Stock Markets

The Role of Industry Effect and Market States in Taiwanese Momentum

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