Macroeconomic risks, idiosyncratic risks and momentum profits Patterns in Neighboring Areas
AbstractThis paper investigates the presence of momentum return when priced for risk factors. Using a sample period from 1926 through 2005 for all stocks listed in the NYSE, AMEX and NASDAQ we show that significant momentum return remains both at the portfolio level and at the individual stock level. We report positive and significant alpha of 0.009 when FamaeFrench three factors and macroeconomic risk factors are used at the portfolio level. At the individual stock level, though FamaeFrench factors cannot eliminate momentum return, the premium diminishes when macroeconomic variables are used. The result is more pronounced when lagged variables are used and during market upturn.
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Bibliographic InfoArticle provided by Research and Business Development Department, Borsa Istanbul in its journal Borsa Istanbul Review.
Volume (Year): 13 (2013)
Issue (Month): 4 (December)
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Momentum return; FamaeFrench factors; Macroeconomic risk factors; Portfolio level; Individual stock level;
Find related papers by JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G19 - Financial Economics - - General Financial Markets - - - Other
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