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Momentum Investing and Business Cycle Risk: Evidence from Pole to Pole

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Author Info

  • John M. Griffin

    (McCombs School of Business, The University of Texas at Austin)

  • Xiuqing Ji

    (Baruch College, The City University of New York)

  • J. Spencer Martin

    (W. P. Carey School of Business, Arizona State University)

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    Abstract

    We examine whether macroeconomic risk can explain momentum profits internationally. Neither an unconditional model based on the Chen, Roll, and Ross (1986) factors nor a conditional forecasting model based on lagged instruments provides any evidence that macroeconomic risk variables can explain momentum. In addition, momentum profits around the world are economically large and statistically reliable in both good and bad economic states. Further, these momentum profits reverse over 1- to 5-year horizons, an action inconsistent with existing risk-based explanations of momentum. Copyright 2003 by the American Finance Association.

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    Bibliographic Info

    Article provided by American Finance Association in its journal The Journal of Finance.

    Volume (Year): 58 (2003)
    Issue (Month): 6 (December)
    Pages: 2515-2547

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    Handle: RePEc:bla:jfinan:v:58:y:2003:i:6:p:2515-2547

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