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Momentum and downside risk

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dc.contributor.authorMin, Byoung-Kyuko
dc.contributor.authorKim, Tong Sukko
dc.date.accessioned2017-03-28T06:57:43Z-
dc.date.available2017-03-28T06:57:43Z-
dc.date.created2017-03-02-
dc.date.created2017-03-02-
dc.date.issued2016-11-
dc.identifier.citationJOURNAL OF BANKING & FINANCE, v.72, pp.S104 - S118-
dc.identifier.issn0378-4266-
dc.identifier.urihttp://hdl.handle.net/10203/220995-
dc.description.abstractWe examine whether time-variation in the profitability of momentum strategies is related to variation in macroeconomic conditions. We find reliable evidence that the momentum strategy exposes investors to greater downside risk. Momentum strategies deliver economically large and statistically reliable negative profits in bad economic states when the expected market risk premium is high, whereas positive profits in good economic states when the expected market risk premium is low. Our results are robust to alternative constructions of momentum portfolios, out-of-sample estimation of the expected market risk premium, and after controlling for the January effect, lagged market return, and investor sentiment. (C) 2016 Elsevier B.V. All rights reserved.-
dc.languageEnglish-
dc.publisherELSEVIER SCIENCE BV-
dc.subjectASSET PRICING MODEL-
dc.subjectEXPECTED RETURNS-
dc.subjectSTOCK RETURNS-
dc.subjectINVESTOR SENTIMENT-
dc.subjectINFORMATION UNCERTAINTY-
dc.subjectBUSINESS-CYCLE-
dc.subjectCROSS-SECTION-
dc.subjectMARKET-
dc.subjectINFLATION-
dc.subjectGROWTH-
dc.titleMomentum and downside risk-
dc.typeArticle-
dc.identifier.wosid000392684400008-
dc.identifier.scopusid2-s2.0-84965005982-
dc.type.rimsART-
dc.citation.volume72-
dc.citation.beginningpageS104-
dc.citation.endingpageS118-
dc.citation.publicationnameJOURNAL OF BANKING & FINANCE-
dc.identifier.doi10.1016/j.jbankfin.2016.04.005-
dc.contributor.localauthorKim, Tong Suk-
dc.contributor.nonIdAuthorMin, Byoung-Kyu-
dc.description.isOpenAccessN-
dc.type.journalArticleArticle-
dc.subject.keywordAuthorMomentum-
dc.subject.keywordAuthorEconomic state-
dc.subject.keywordAuthorExpected market risk premium-
dc.subject.keywordPlusASSET PRICING MODEL-
dc.subject.keywordPlusEXPECTED RETURNS-
dc.subject.keywordPlusSTOCK RETURNS-
dc.subject.keywordPlusINVESTOR SENTIMENT-
dc.subject.keywordPlusINFORMATION UNCERTAINTY-
dc.subject.keywordPlusBUSINESS-CYCLE-
dc.subject.keywordPlusCROSS-SECTION-
dc.subject.keywordPlusMARKET-
dc.subject.keywordPlusINFLATION-
dc.subject.keywordPlusGROWTH-
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MT-Journal Papers(저널논문)
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