|
||||
|
||||
Momentum Investing and Business Cycle Risk: Evidence from Pole to Pole
John M. Griffin University of Texas at Austin - Department of Finance Susan Ji Baruch College, Zicklin School of Business J. Spencer Martin Carnegie Mellon University March 18, 2002 AFA 2003 Washington, DC Meetings; EFA 2002 Berlin Meetings Presented Paper Abstract: We examine whether momentum profits globally can be explained by macroeconomic risk and address in part whether momentum returns are consistent with risk-based explanations. Profits to momentum strategies only weakly co-move among 40 countries, whether within regions or across continents. Internationally, momentum profits bear basically no statistically or economically significant relation to the Chen, Roll, and Ross (1986) macroeconomic factors. Performance of a forecasting model based on lagged instrumental variables also indicates that there is no measurable relation between macroeconomic risk and momentum either abroad or in the U.S. Globally, momentum profits are large and statistically reliable in periods of both negative and positive economic growth; these momentum profits reverse over one- to five-year horizons, an action inconsistent with current risk-based explanations.
Keywords: Momentum, Business Cycle, Portfolio Risk JEL Classifications: G12, G14, G15 Working Paper SeriesDate posted: November 22, 2001 ; Last revised: September 17, 2002Suggested CitationContact Information
|
|
||||||||||||||||||||||||
© 2009 Social Science Electronic Publishing, Inc. All Rights Reserved. Terms of Use Privacy Policy
This page was served by apollo3 in 0.109 seconds.