IDEAS home Printed from https://ideas.repec.org/a/bor/bistre/v13y2013i4p99-114.html
   My bibliography  Save this article

Macroeconomic risks, idiosyncratic risks and momentum profits Patterns in Neighboring Areas

Author

Listed:
  • Sirajum Munira Sarwar
  • Gulnur Muradoglu

Abstract

This 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.

Suggested Citation

  • Sirajum Munira Sarwar & Gulnur Muradoglu, 2013. "Macroeconomic risks, idiosyncratic risks and momentum profits Patterns in Neighboring Areas," Borsa Istanbul Review, Research and Business Development Department, Borsa Istanbul, vol. 13(4), pages 99-114, December.
  • Handle: RePEc:bor:bistre:v:13:y:2013:i:4:p:99-114
    as

    Download full text from publisher

    File URL: http://ac.els-cdn.com/S2214845013000069/1-s2.0-S2214845013000069-main.pdf?_tid=3a711196-9933-11e3-a4cb-00000aacb35d&acdnat=1392793285_4b1d9d4e6d86eea0e8fc62144345e220.pdf
    Download Restriction: no

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Li, Bob & Ee, Mong Shan & Rashid, Mamunur, 2016. "Is momentum trading profitable from Shari'ah compliant stocks?," Review of Financial Economics, Elsevier, vol. 31(C), pages 56-63.

    More about this item

    Keywords

    Momentum return; FamaeFrench factors; Macroeconomic risk factors; Portfolio level; Individual stock level;

    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

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bor:bistre:v:13:y:2013:i:4:p:99-114. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Ahmet Palu). General contact details of provider: http://edirc.repec.org/data/rdisetr.html .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.