Market states and momentum

• 成果类型: Article
• 署名作者: Cooper, MJ; Gutierrez, RC Jr; Hameed, A
• 署名单位: Purdue University System; Purdue University; University of Oregon; National University of Singapore
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.2004.00665.x
• 发表日期: 2004
• 页码: 1345-1365
• 关键词: investor psychology; business-cycle; RISK; returns; price

摘要

We test overreaction theories of short-run momentum and long-run reversal in the cross section of stock returns. Momentum profits depend on the state of the market, as predicted. From 1929 to 1995, the mean monthly momentum profit following positive market returns is 0.93%, whereas the mean profit following negative market returns is -0.37%. The up-market momentum reverses in the long-run. Our results are robust to the conditioning information in macroeconomic factors. Moreover, we find that macroeconomic factors are unable to explain momentum profits after simple methodological adjustments to take account of microstructure concerns.