Market states and momentum

被引：522

作者：

Cooper, MJ ^{[1
]}

Gutierrez, RC

Hameed, A

机构：

[1] Purdue Univ, Grad Sch Management, W Lafayette, IN 47907 USA

[2] Univ Oregon, Lundquist Coll Business, Eugene, OR 97403 USA

[3] Natl Univ Singapore, NUS Business Sch, Singapore 117548, Singapore

来源：

JOURNAL OF FINANCE | 2004年 / 59卷 / 03期

关键词：

D O I：

10.1111/j.1540-6261.2004.00665.x

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

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.

引用

页码：1345 / 1365

页数：21

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