Momentum

Nusret Cakici and Kudret Topyan

Chapter Chapter 8 in Risk and Return in Asian Emerging Markets, 2014, pp 105-119 from Palgrave Macmillan

Abstract: Abstract Momentum effect is nothing more than a stock’s recent performance history. Momentum is a widely studied, popular return predictor. In the light of many studies over the past several years, it is safe to say that stock returns appear to exhibit momentum in the short as well as medium run (see, for example, Hong and Stein, 1999). In addition, as a popular return predictor, momentum stays at the center of the market efficiency debate and is used by many researchers as an indication of market inefficiency. Some researchers and practitioners, however, prefer to highlight momentum as a focal point of asset pricing studies and evaluate its predictive power isolated from market efficiency issues. As underlined by Cochrane (2007), risk is a complicated multidimensional matter and the empirical findings may indicate that the underlined factors, such as momentum, in reality may simply approximate some fundamental risks that require due compensation, and not necessarily due to market inefficiencies.1 Therefore, we would like to emphasize here that we are interested in the predictive power of momentum without directly involving ourselves in market efficiency issues.

Keywords: Stock Return; Momentum Effect; Asset Class; Monthly Return; Large Stock (search for similar items in EconPapers)
Date: 2014
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Persistent link: https://EconPapers.repec.org/RePEc:pal:palchp:978-1-137-35907-0_8

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DOI: 10.1057/9781137359070_8

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