Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
982398 | The Quarterly Review of Economics and Finance | 2006 | 10 Pages |
Abstract
Cooper, Gutierrez, and Hameed [Cooper, M., Gutierrez Jr., R., Hameed, A. (2004). Market States and Momentum. Journal of Finance, in press] find that momentum profits derive from the “up” market; they claim that this is due to investor overconfidence. This paper examines their proposition in an international context and finds qualified support: momentum profits exist only in the up market but this holds for only two of three market state classifications based on past returns. A further test using lagged world industrial production growth to classify market states largely supports the proposition, although (statistically insignificant) profits also arise in the down market.
Keywords
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Dayong Huang,