کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
7342219 1476195 2013 16 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Macroeconomic risks, idiosyncratic risks and momentum profits
ترجمه فارسی عنوان
خطرات اقتصاد کلان، خطرات فردی و سود حرکتی
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
چکیده انگلیسی
This paper investigates the presence of momentum return when priced for risk factors. Using a sample period from 1926 through 2005 for all stocks listed in the NYSE, AMEX and NASDAQ we show that significant momentum return remains both at the portfolio level and at the individual stock level. We report positive and significant alpha of 0.009 when Fama-French three factors and macroeconomic risk factors are used at the portfolio level. At the individual stock level, though Fama-French factors cannot eliminate momentum return, the premium diminishes when macroeconomic variables are used. The result is more pronounced when lagged variables are used and during market upturn.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Borsa Istanbul Review - Volume 13, Issue 4, December 2013, Pages 99-114
نویسندگان
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