The Origin of Short-Term Momentum Effects' Profits
International Management and Financial Innovations, Forthcoming
Posted: 10 Nov 2013 Last revised: 11 Nov 2013
Date Written: October 2013
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
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