Momentum, Reversals, and Business Cycle Turning Points.
We study time variation in the profitabilities of medium‐term momentum and long‐term reversals trading strategies over the business cycle. We find reliable evidence that turning points in the business cycle are critically important in determining momentum and reversals profits. Specifically, momentu...
| Published in: | Abacus Vol. 57; no. 4; pp. 679 - 709 |
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| Main Authors: | , |
| Format: | Article |
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Wiley-Blackwell
Dec2021
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| Subjects: | |
| Online Access: | View this record in EBSCOhost |
| fields | @attributes: recordID: 1 pdfLink: plink: https://search.ebscohost.com/login.aspx?direct=true&db=hlh&AN=153935834&site=ehost-live header: @attributes: shortDbName: hlh uiTerm: 153935834 longDbName: Humanities International Complete uiTag: AN controlInfo: bkinfo: jinfo: jid: 00013072 AUB jtl: Abacus issn: 00013072 maglogo: Y pubinfo: dt: Dec2021 vid: 57 iid: 4 pid: 480 pub: Wiley-Blackwell artinfo: ui: 153935834 10.1111/abac.12216 ppf: 679 ppct: 30 formats: fmt: @attributes: type: P size: 206KB tig: atl: Momentum, Reversals, and Business Cycle Turning Points. aug: au: Min, Byoung‐Kyu Xiao, Yuchao su: Business cycles Robust control Business planning sug: subj: Business cycles Robust control Business planning keyword: Asymmetry Business cycle peaks Business cycle troughs Momentum Reversals ab: We study time variation in the profitabilities of medium‐term momentum and long‐term reversals trading strategies over the business cycle. We find reliable evidence that turning points in the business cycle are critically important in determining momentum and reversals profits. Specifically, momentum profits at business cycle peaks are higher than at business cycle troughs. The opposite pattern is found for reversals profits. Business cycle peaks show lower reversals profits than at troughs. The results indicate that momentum profits are not simply procyclical, but instead exhibit an intriguing and complex non‐linear relation with macroeconomic conditions. We also find that the loser stocks are the primary determinant of time variation in momentum and reversals profitabilities across business cycles. Finally, our results remain robust after controlling for market state, cross‐sectional return dispersion, and investor sentiment. Taken together, our findings pose challenges to existing theories of the momentum and reversals effects. pubtype: Academic Journal doctype: Article src: R language: English refInfo: copyright: @attributes: flag: Y custom: Copyright of Abacus is the property of Wiley-Blackwell and its content may not be copied or emailed to multiple sites without the copyright holder's express written permission. Additionally, content may not be used with any artificial intelligence tools or machine learning technologies. However, users may print, download, or email articles for individual use. item: Abacus holder: Wiley-Blackwell dt: @attributes: year: 2021 holdings: @attributes: islocal: N |
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