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When competing momentum hypotheses really do not compete: How the sources of momentum profits change through time

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  • Du, Ding
  • Watkins, Boyce

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  • Du, Ding & Watkins, Boyce, 2007. "When competing momentum hypotheses really do not compete: How the sources of momentum profits change through time," Journal of Economics and Business, Elsevier, vol. 59(2), pages 130-143.
  • Handle: RePEc:eee:jebusi:v:59:y:2007:i:2:p:130-143
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    References listed on IDEAS

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    1. Harrison Hong & Jeremy C. Stein, 1999. "A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets," Journal of Finance, American Finance Association, vol. 54(6), pages 2143-2184, December.
    2. Tarun Chordia & Lakshmanan Shivakumar, 2002. "Momentum, Business Cycle, and Time-varying Expected Returns," Journal of Finance, American Finance Association, vol. 57(2), pages 985-1019, April.
    3. repec:hrv:faseco:30747159 is not listed on IDEAS
    4. Conrad, Jennifer & Kaul, Gautam, 1988. "Time-Variation in Expected Returns," The Journal of Business, University of Chicago Press, vol. 61(4), pages 409-425, October.
    5. K. Geert Rouwenhorst, 1998. "International Momentum Strategies," Journal of Finance, American Finance Association, vol. 53(1), pages 267-284, February.
    6. De Bondt, Werner F M & Thaler, Richard, 1985. " Does the Stock Market Overreact?," Journal of Finance, American Finance Association, vol. 40(3), pages 793-805, July.
    7. Narasimhan Jegadeesh, 2002. "Cross-Sectional and Time-Series Determinants of Momentum Returns," Review of Financial Studies, Society for Financial Studies, vol. 15(1), pages 143-157, March.
    8. Lo, Andrew W & MacKinlay, A Craig, 1990. "When Are Contrarian Profits Due to Stock Market Overreaction?," Review of Financial Studies, Society for Financial Studies, vol. 3(2), pages 175-205.
    9. Jonathan Lewellen, 2002. "Momentum and Autocorrelation in Stock Returns," Review of Financial Studies, Society for Financial Studies, vol. 15(2), pages 533-564, March.
    10. Pan, Ming-Shiun & Liano, Kartono & Huang, Gow-Cheng, 2004. "Industry momentum strategies and autocorrelations in stock returns," Journal of Empirical Finance, Elsevier, vol. 11(2), pages 185-202, March.
    11. Tobias J. Moskowitz & Mark Grinblatt, 1999. "Do Industries Explain Momentum?," Journal of Finance, American Finance Association, vol. 54(4), pages 1249-1290, August.
    12. Narasimhan Jegadeesh, 2001. "Profitability of Momentum Strategies: An Evaluation of Alternative Explanations," Journal of Finance, American Finance Association, vol. 56(2), pages 699-720, April.
    13. Barberis, Nicholas & Shleifer, Andrei & Vishny, Robert, 1998. "A model of investor sentiment," Journal of Financial Economics, Elsevier, vol. 49(3), pages 307-343, September.
    14. John M. Griffin & Xiuqing Ji & J. Spencer Martin, 2003. "Momentum Investing and Business Cycle Risk: Evidence from Pole to Pole," Journal of Finance, American Finance Association, vol. 58(6), pages 2515-2547, December.
    15. Jegadeesh, Narasimhan & Titman, Sheridan, 1993. " Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency," Journal of Finance, American Finance Association, vol. 48(1), pages 65-91, March.
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    Cited by:

    1. Du, Ding, 2008. "The 52-week high and momentum investing in international stock indexes," The Quarterly Review of Economics and Finance, Elsevier, vol. 48(1), pages 61-77, February.
    2. repec:bla:acctfi:v:57:y:2017:i:1:p:261-287 is not listed on IDEAS
    3. Du, Ding & Huang, Zhaodan & Liao, Bih-shuang, 2009. "Why is there no momentum in the Taiwan stock market?," Journal of Economics and Business, Elsevier, vol. 61(2), pages 140-152.
    4. repec:eme:mfipps:v:36:y:2010:i:3:p:364-379 is not listed on IDEAS

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