The Origin of Short-Term Momentum Effects' Profits

International Management and Financial Innovations, Forthcoming

Posted: 10 Nov 2013 Last revised: 11 Nov 2013

See all articles by Abdullah Ejaz

Abdullah Ejaz

University of Brunei Darussalam; Universiti Brunei Darussalam

Petr Polak

University of Brunei Darussalam

Date Written: October 2013

Abstract

In the field of financial literature, many scholars have tried to solve the riddle of origin of momentum profits. But results are so far mixed and not ultimate. The purpose of this paper is to find the origin of short term momentum effect. For this purpose, a new set of variables has been chosen that comes under the classification of "Business Proxies." Fourteen stock markets from around the globe have been chosen to find the origin. These markets are Argentina, Austria, Brazil, China, Chile, Greece, India, Italy, Ireland, Mexico, New Zealand, Pakistan, Turkey and the USA. It is found that, out of 4 independent variables, a variable SB (Starting a Business) has proved to be significant to explain the source of momentum whereas all other variables might or might not have influence over momentum profits.

Keywords: Short term momentum effect, j6k6 momentum strategy, efficient market hypethesis

JEL Classification: G15

Suggested Citation

Ejaz, Abdullah and Ejaz, Abdullah and Polak, Petr, The Origin of Short-Term Momentum Effects' Profits (October 2013). International Management and Financial Innovations, Forthcoming, Available at SSRN: https://ssrn.com/abstract=2352205

Abdullah Ejaz (Contact Author)

University of Brunei Darussalam ( email )

Jalan Tungku Link
Gadong
Bandar Seri Begawan, BE1410
Brunei
+673 2463001 (Phone)

HOME PAGE: http://www.ubd.edu.bn

Universiti Brunei Darussalam ( email )

Jalan Tungku Link
Gadong
Bandar Seri Begawan, BE1410
Brunei
+673 2463001 (Phone)

HOME PAGE: http://www.ubd.edu.bn

Petr Polak

University of Brunei Darussalam ( email )

Jalan Tungku Link
Gadong
Bandar Seri Begawan, BE1410
Brunei

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