Has the current global financial crisis significantly affected momentum profitability?

Ahmad Ahmad, Adel Bino and Mohammad Tayeh

Cogent Business & Management, 2021, vol. 8, issue 1, 1932238

Abstract: In this study, we examine the behavior of stock price changes in an emerging market to search for possible momentum incidents. Our findings indicate that the existence of momentum can be characterized by the state of the economy, which is significantly correlated with the down market. We argue that this is due to investors, who have diminishing marginal utility of wealth and, in turn, behave in a risk-averse manner, resulting in loser portfolios being responsible for the vast majority of the observed momentum profitability. Furthermore, we find that momentum profitability is stronger with longer formation and holding periods, despite few cases of winners’ return reversals. Our findings remain robust after controlling for size and book-to-market and earnings-to-market ratios.

Date: 2021
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://hdl.handle.net/10.1080/23311975.2021.1932238 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:oabmxx:v:8:y:2021:i:1:p:1932238

Ordering information: This journal article can be ordered from
http://cogentoa.tandfonline.com/journal/OABM20

DOI: 10.1080/23311975.2021.1932238

Access Statistics for this article

Cogent Business & Management is currently edited by Len Tiu Wright and Tahir Nisar

More articles in Cogent Business & Management from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().