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Momentum Profits and conditional time-varying systematic risk

Morelli, David A. (2014) Momentum Profits and conditional time-varying systematic risk. Journal of International Financial Markets Institutions and Money, 29 (1). pp. 242-255. ISSN 1042-4431.. (doi:10.1016/j.intfin.2013.11.007) (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided)

The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided. (Contact us about this Publication)
Official URL
http://dx.doi.org/10.1016/j.intfin.2013.11.007

Abstract

The predictability of security prices and the ability to develop profitable trading strategies is of great interest in the financial world. This paper examines momentum profits over the period January 1980 to December 2010 in the UK stock market, and attempts to explain whether such profits can be attributed to time-varying systematic risk based upon the conditional CAPM. Time-varying betas are estimated from time-varying conditional variances and covariances, where conditional information is incorporated by modelling variances and covariances using ARCH, GARCH and GARCH-M models. For the majority of momentum trading strategies winner portfolios show higher systematic risk than loser portfolios, and in some cases this difference is found to be statistically significant.

Item Type: Article
DOI/Identification number: 10.1016/j.intfin.2013.11.007
Uncontrolled keywords: Momentum profits; Trading strategies; Time-varying systematic risk; ARCH/GARCH models; UK stock market
Subjects: H Social Sciences > HG Finance
Divisions: Faculties > Social Sciences > Kent Business School > Accounting and Finance
Depositing User: David Morelli
Date Deposited: 17 Jun 2015 09:35 UTC
Last Modified: 29 May 2019 14:05 UTC
Resource URI: https://kar.kent.ac.uk/id/eprint/46743 (The current URI for this page, for reference purposes)
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