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Momentum profits and macroeconomic factors

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  • Patricia Chelley-steeley
  • Antonios Siganos

Abstract

This article tests whether macroeconomic variables and market sentiment influence the size of momentum profits. It finds that although returns to the winner and loser portfolios are influenced by a range of macroeconomic and market wide variables; momentum profits are influenced only by the scale of portfolio outflows. Thus, when investors are sending their capital elsewhere, reduced funds at home, dampen the profitability of the momentum trading strategy. It also finds that when the market closes, below its opening level in the previous six months, momentum profits are higher, which might be a reflection of mean reversion in the market.

Suggested Citation

  • Patricia Chelley-steeley & Antonios Siganos, 2004. "Momentum profits and macroeconomic factors," Applied Economics Letters, Taylor & Francis Journals, vol. 11(7), pages 433-436.
    • Handle: RePEc:taf:apeclt:v:11:y:2004:i:7:p:433-436
    DOI: 10.1080/1350485042000191719
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    References listed on IDEAS

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    Cited by:

    1. Jing Shi & Marcel Ausloos & Tingting Zhu, 2022. "If global or local investor sentiments are prone to developing an impact on stock returns, is there an industry effect?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(1), pages 1309-1320, January.
    2. Golam Sarwar & Cesario Mateus & Natasa Todorovic, 2017. "A tale of two states: asymmetries in the UK small, value and momentum premiums," Applied Economics, Taylor & Francis Journals, vol. 49(5), pages 456-476, January.
    3. Luis Muga & Rafael Santamaria, 2007. "The stock market crisis and momentum. Some evidence for the Spanish stock market during the 1990s," Applied Financial Economics, Taylor & Francis Journals, vol. 17(6), pages 469-486.

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