Earticle

초록

영어

We examine time variations of the expected momentum profits using a two-state Markov switching model with time-varying transition probabilities to evaluate the empirical relevance of recent rational theories of the momentum profits. We find that in the expansion state the expected returns of winner stocks are more affected by aggregate economic conditions than those of loser stocks, while in the recession state the expected returns of loser stocks are more affected than those of winner stocks. Consequently, the expected momentum profits display strong procyclical variations. We argue that the observed momentum profits are realizations of such expected returns and can be interpreted as the procyclicality premium. We also find the economic significance of out-of-sample predictability of the momentum profits particularly for loser stocks and during the recession states.

목차

Abstract
 1. Introduction
 2. Sources of Time-Varying Expected Momentum Profits
 3. An Econometric Model of Time-Varying Expected Returns
 4. Empirical Results
  4.1 Data and Model Specification
  4.2. Estimation Results
  4.3 A Bivariate Joint Model for Loser and Winner Stocks’ Expected Returns
  4.4 Trading Rules Based on Out-of-Sample Predictions
  4.5 Robustness Tests
 5. Conclusion
 References
 Table
 Figure

키워드

저자

• Dongcheol Kim [ Korea University Business School ]
• Tai-Yong Roh [ Graduate School of Finance, KAIST (Korea Advanced Institute of Science and Technology) Business School, ]
• Suk-Joon Byun [ Graduate School of Finance, KAIST (Korea Advanced Institute of Science and Technology) Business School ]
• Byoung-Kyu Min [ nstitute of Financial Analysis, University of Neuchâtel, Pierre-à-Mazel 7, 2000 Neuchâtel, Switzerland. ] Corresponding author

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  한국재무학회 학술대회

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  2006~2024

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  KDC 325 DDC 330