Empirical Determinants of Momentum: A Perspective From International Data

65 Pages Posted: 20 Jan 2022 Last revised: 15 Mar 2023

See all articles by Amit Goyal

Amit Goyal

University of Lausanne; Swiss Finance Institute

Narasimhan Jegadeesh

Emory University - Department of Finance

Avanidhar Subrahmanyam

University of California, Los Angeles (UCLA) - Finance Area; Financial Research Network (FIRN)

Date Written: January 19, 2022

Abstract

We use out-of-sample international data to consider U.S.-based empirical proxies for momentum explanations. We find that the proxy for the hypothesis that investor underreaction to information arriving in small bits rather than in large chunks results in momentum receives reliable support internationally. The market/book ratio as a proxy for valuation uncertainty, and potentially for investor overconfidence as well, receives secondary support, but we find no support for real options proxies. We confirm out-of-sample that momentum is stronger in up-markets and less-volatile markets; these market states represent high investor confidence in the original studies

Keywords: momentum; information diffusion, market efficiency

JEL Classification: G12,G14

Suggested Citation

Goyal, Amit and Jegadeesh, Narasimhan and Subrahmanyam, Avanidhar, Empirical Determinants of Momentum: A Perspective From International Data (January 19, 2022). Available at SSRN: https://ssrn.com/abstract=4012902 or http://dx.doi.org/10.2139/ssrn.4012902

Amit Goyal

University of Lausanne ( email )

Batiment Extranef 226
Lausanne, Vaud CH-1015
Switzerland
+41 21 692 3676 (Phone)
+41 21 692 3435 (Fax)

HOME PAGE: http://www.hec.unil.ch/agoyal/

Swiss Finance Institute ( email )

c/o University of Geneva
40, Bd du Pont-d'Arve
CH-1211 Geneva 4
Switzerland

Narasimhan Jegadeesh

Emory University - Department of Finance ( email )

Atlanta, GA 30322-2710
United States

Avanidhar Subrahmanyam (Contact Author)

University of California, Los Angeles (UCLA) - Finance Area ( email )

Los Angeles, CA 90095-1481
United States
310-825-5355 (Phone)
310-206-5455 (Fax)

Financial Research Network (FIRN)

C/- University of Queensland Business School
St Lucia, 4071 Brisbane
Queensland
Australia

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