Portal de Periódicos da CAPES

Momentum Investing and Business Cycle Risk: Evidence from Pole to Pole

2003; Wiley; Volume: 58; Issue: 6 Linguagem: Inglês

10.1046/j.1540-6261.2003.00614.x

1540-6261

John M. Griffin, Xiuqing Ji, J. Spencer Martin,

Credit Risk and Financial Regulations

Abstract We examine whether macroeconomic risk can explain momentum profits internationally. Neither an unconditional model based on the Chen, Roll, and Ross (1986) factors nor a conditional forecasting model based on lagged instruments provides any evidence that macroeconomic risk variables can explain momentum. In addition, momentum profits around the world are economically large and statistically reliable in both good and bad economic states. Further, these momentum profits reverse over 1‐ to 5‐year horizons, an action inconsistent with existing risk‐based explanations of momentum.