추계학술연구발표회
Momentum Profits and Macroeconomic States:Is Winner Riskier than Loser?(민병규,김동석)
작성자 관리자
등록일2009.06.09
조회수6105
We examine whether momentum profits and macroeconomic risk are related. We find that momentum strategy generates economically large negative profits in bad economic states, while positive profits in good economic states, when we define states of nature based on the expected market risk premium, instead of on the realized market excess return. Our findings suggest that time variation in momentum strategy is linked to variations in macroeconomic risk. Thus, our results are consistent with risk-based explanations of momentum.
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