Macroeconomic risks, idiosyncratic risks and momentum profits Patterns in Neighboring Areas

Sirajum Munira Sarwar and Yaz Muradoglu

Borsa Istanbul Review, 2013, vol. 13, issue 4, 99-114

Abstract: This paper investigates the presence of momentum return when priced for risk factors. Using a sample period from 1926 through 2005 for all stocks listed in the NYSE, AMEX and NASDAQ we show that significant momentum return remains both at the portfolio level and at the individual stock level. We report positive and significant alpha of 0.009 when FamaeFrench three factors and macroeconomic risk factors are used at the portfolio level. At the individual stock level, though FamaeFrench factors cannot eliminate momentum return, the premium diminishes when macroeconomic variables are used. The result is more pronounced when lagged variables are used and during market upturn.

Keywords: Momentum return; FamaeFrench factors; Macroeconomic risk factors; Portfolio level; Individual stock level (search for similar items in EconPapers)
JEL-codes: G11 G12 G19 (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:bor:bistre:v:13:y:2013:i:4:p:99-114

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