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

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

doi:10.2139/ssrn.291225

Cited by 164 publications

(49 citation statements)

References 36 publications

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“…The pioneering work of Jegadeesh and Titman (1993) on the US market showed that by buying winners and selling short losers an abnormal monthly return of approximately 1 percent could be achieved. Extent evidence now exists in support of the momentum strategy for the US (e.g., Jegadeesh and Titman, 2001), the UK (e.g., Hon and Tonks, 2003), and a global range of stock markets (e.g., Griffin et al, 2003).…”

Section: Introductionmentioning

confidence: 99%

Momentum profits in alternative stock market structures

Chelley‐Steeley

Siganos

2008

Journal of Multinational Financial Management

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AcknowledgementsWe would like to thank David Power, Weimin Liu, Jo Danbolt and an anonymous referee for the helpful comments we received. 1Momentum profits in alternative stock market structures AbstractThe aim of this study is to examine the relationship between momentum profitability and the stock market trading mechanism and is motivated by recent changes to the trading systems that have taken place on the London Stock Exchange. Since 1975 the London stock market has employed three different trading systems: a floor based system, a computerized dealer system called SEAQ and the automated auction system SETS. Since each new trading system has reduced the level of execution costs, one might expect, a-priori, the magnitude of momentum profits to decline with each amendment to the trading system. However, the opposite empirical result is found showing that shares trading on the automated system generate higher momentum profits than those trading on the floor system and companies trading on the SETS system display greater momentum profitability than those trading on SEAQ. Our empirical results concur with the theoretical findings of the trader's hesitation model of Du (2002) JEL classifications: G14; G15

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Section: Introductionmentioning

confidence: 99%

Momentum profits in alternative stock market structures

Chelley‐Steeley

Siganos

2008

Journal of Multinational Financial Management

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“…Many subsequent studies have confirmed its existence and profitability in the established stock markets of the world (Jegadeesh & Titman, 2001;Grinblatt & Moskowitz, 1999;Lewellen, 2002). However, momentum is weak or almost non-existent in rising stock markets in general and in Asian stock markets in particular (Rouwenhorst, 1997;Griffin et al, 2003;Chui et al, 2010). The authors were of the view that fluctuations in the returns of momentum across markets provide a good opportunity to inspect several momentum theories.…”

Section: Literature Reviewmentioning

confidence: 99%

Australian Stock Exchange and sub-variants of price momentum strategies

Ejaz

Polák

2018

Investment Management and Financial Innovations

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The aim of this study is to examine the sub-variants of price momentum strategies. The paper recommends which sub-variants post above average returns for Australian Stock Exchange. It also analyzes the return behavior of short-term momentum effect among sub-variants of price momentum strategies. It has been found that monthly price momentum strategies result in above average abnormal returns, whereas weekly price momentum strategies should be used in combination with monthly price momentum strategies. Trading volume-based momentum investment strategies should not be used at all.

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“…This affects to the project income stream, because of the variations in the interest rate or condition of payment are the crucial factors to the developers' cost of finance [1], [30]. This is assessed by degree of impacts to project investment in regard to an increment of interest rate [1], [30].…”

Section: Fluctuation Of Interest Ratementioning

confidence: 99%

“…The typical economic risks in real estate projects are caused by the variation of interest rate, loan and developer credit, sources of development funds and project debt/equity ratio [1]- [4]. Normally, project sponsors require the highest life cycle value of the properties, which could be measured by Net present value (NPV) achieved from the investment [5], [6].…”

Section: Introductionmentioning

confidence: 99%

“…Normally, project sponsors require the highest life cycle value of the properties, which could be measured by Net present value (NPV) achieved from the investment [5], [6]. Risks associated with economic and financial uncertainties could strongly affect the project development process and that was the reason that the real estate professionals and academicians given precedence to economic risks caused by these kind of financial factors [1], [4]. Moreover, marketing managerial factors such wrong estimated of demand and supply of the properties can cause an economic risk to real estate project [6], [7].…”

Section: Introductionmentioning

confidence: 99%

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An Examination of Economic Risks’ Perception of Thai Real Estate Developers

Khumpaisal¹

2015

IJTEF

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Abstract-Economic risk plays a critical role in real estate development projects as it directly affects project's income stream. This paper examines Thai real estate practitioners' perception of economic risks caused by several related factors such as financial or marketing aspects. The quantitative research approach is adopted and the Explorative factor analysis (EFA) has been carried out. It is based on a survey of Thai real estate practitioners, which was conducted in mid-2010 with a response rate of 52.5% (210 out of 400). This paper clusters the degree of economic risks into the appropriate categories by using the EFA technique. It finds that Thai practitioners emphasize on the economic risks caused by variation of construction materials' price more than the others Moreover, this paper underpinned that the economic risks in this industry are mostly involved with macroeconomic, financial/monetary, and marketing factors. Finally, this paper contributes the economic risk assessment model, which was established based on the solid statistical/mathematical framework that appropriate for the real estate industry.Index Terms-Economic risks, explorative factor analysis (EFA), risk assessment, Thailand real estate development industry.

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

Cited by 164 publications

References 36 publications

Momentum profits in alternative stock market structures

Momentum profits in alternative stock market structures

Australian Stock Exchange and sub-variants of price momentum strategies

An Examination of Economic Risks’ Perception of Thai Real Estate Developers

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