Momentum Investing and Business Cycle Risk: Evidence from Pole to Pole

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

doi:10.1046/j.1540-6261.2003.00614.x

Cited by 819 publications

(479 citation statements)

References 51 publications

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“…Similar to the Studies by Kho et al (1997), Chui, Titman and Wei (2000), Griffin and Martin (2003), C. Liu and Lee (2001), Du et al (2009), etc., our results suggested that there was no evidence of return continuation in TSE and using momentum strategy has created negative returns in all periods. In addition, considering the liquidity required to form momentum portfolios, we observed that the liquidity factor has no effect on profitability of the momentum strategy, and using this strategy taking into account, liquidity have generated negative returns in TSE in all periods.…”

Section: Resultssupporting

confidence: 75%

Momentum Returns in Tehran Stock Exchange: The Influences of Size and Liquidity

Mansouri¹,

Tehrani²,

Ansari³

2012

IBR

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A study was carried out during 2001 to 2010 to illustrate the profit of momentum strategy in Tehran stock Exchange, and possibility of higher abnormal return based on past performance trends. In this study, the effects of two substantial variables including size and liquidity on profitability of momentum strategy in Tehran stock Exchange were investigated. The study was conducted in two sub-periods: 2005-2010, and 2007-2010. The first is due to a significant change in the number of stock companies after privatization, and the second is to cover the effects of global financial crisis on Iran's economy. Our sample includes three separate samples of all stock market joined companies before the mentioned related periods that have been traded in at least half of the total trading days in the related period. Results showed that using momentum strategy in Tehran Stock Exchange created negative returns in all periods. Moreover, liquidity factor did not affect the profitability of momentum strategy. Meanwhile, considering size as another fundamental factor, the positive effect of small stocks was identified only in one period, from 2005 to 2010. In other periods, however, it led to negative returns.

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Section: Resultssupporting

confidence: 75%

Momentum Returns in Tehran Stock Exchange: The Influences of Size and Liquidity

Mansouri¹,

Tehrani²,

Ansari³

2012

IBR

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“…These findings are robust as confirmed by Rouwenhorst (1998) and Griffin, Ji, and Martin (2003) who find momentum in international markets. Fama and French (1993) state market, value, and size factors cannot account for momentum returns.…”

Section: Review Of Related Literaturesupporting

confidence: 66%

Testing International Momentum Strategies between Chinese and Australian Financial Markets

Abraham¹

2014

International Journal of Financial Research

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“…Rouwenhorst (1998) found evidence supporting the existence of momentum strategies in 12 European countries during the period 1980-1995, additional evidence has been obtained from the Australian market (Hurn & Pavlov, 2003). In addition Griffin et al (2003) measured momentum profits internationally, by taking samples from all the continents, and the results showed that momentum profits are significant in all regions except Asia with emerging market showing weaker profits compared to developed ones.…”

Section: Momentummentioning

confidence: 84%

Return Anomalies “Disposition Effect and Momentum”: Evidence from the Egyptian Stock Market

Sakr¹,

Ragheb²,

Ragab³

et al. 2014

IJEF

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Purpose: The persistence of momentum in stock returns across both developed and emerging markets and the challenges that it poses against the Efficient Market Hypothesis created a need to explain its existence. Grinblatt and Han (2005) formulated a model to explain momentum using a well documented behavioral bias which is the Disposition effect. The focus of this paper is to analyze whether disposition effect drives momentum in the Egyptian stock market as one of the growing emerging markets that faces a considerable lack in behavioral studies. Design/methodology/approach:The study is quantitative in nature studying whether disposition effect drives momentum using a sample of 48 companies through the time period 2004-2010. The relation between disposition effect and momentum will be analyzed empirically using Fama Macbeth cross-sectional regression.Findings: Results show that there is no momentum in stock returns in the Egyptian stock market. In addition they show that disposition effect does not drive momentum in the Egyptian stock market as there is no significant relation between expected return and capital gain overhang. The results reveal useful insights about the Egyptian stock market that can be of beneficial use for both practitioners and academics. Research limitations/implications:Limited number of active companies in the Egyptian stock market as well as the limited available historical data poses some restrictions in the implementation of Fama Macbeth regression and the calculation of reference price. In addition analyzing the profitability of momentum strategies across different market states may be required to provide complete picture about momentum in the market. Practical implications:Relative strength strategies do not earn abnormal return in the Egyptian stock market, so practitioners are not advised to follow such strategies. In addition more advanced market mechanisms should be applied in the Egyptian stock market to improve its efficiency as well as increase the speed of information dissemination in the prices.Originality/value: Detailed analysis of literature review reveals a significant gap in academic studies about the Egyptian stock market. This paper aims to fill this gap by analyzing whether there is momentum in stock returns and whether disposition effect drives momentum in the Egyptian stock market that differs from other markets where Grinblatt and Han (2005) has been previously applied and hence this provides an out of sample test of the model.

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Momentum Investing and Business Cycle Risk: Evidence from Pole to Pole

Cited by 819 publications

References 51 publications

Momentum Returns in Tehran Stock Exchange: The Influences of Size and Liquidity

Momentum Returns in Tehran Stock Exchange: The Influences of Size and Liquidity

Testing International Momentum Strategies between Chinese and Australian Financial Markets

Return Anomalies “Disposition Effect and Momentum”: Evidence from the Egyptian Stock Market

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