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- Title
Market Dynamics and Momentum Profits.
- Authors
Asem, Ebenezer; Tian, Gloria Y.
- Abstract
Recent evidence indicates that momentum profits are sensitive to market conditions. We find that the profits are higher when the markets continue in the same state than when they transition to a different state. These findings support Daniel, Hirshleifer, and Subrahmanyam (1998), who suggest that investor overconfidence is higher when the markets continue in the same state (UP or DOWN) than when they reverse, predicting higher momentum profits in the former. In contrast, our evidence following DOWN markets is not consistent with the other competing models for the market-state conditional momentum profits.
- Subjects
PROFIT; PROFIT &; loss; FREE enterprise -- Social aspects; CONFIDENCE; INVESTORS; MATHEMATICAL models of economics
- Publication
Journal of Financial & Quantitative Analysis, 2010, Vol 45, Issue 6, p1549
- ISSN
0022-1090
- Publication type
Article
- DOI
10.1017/S0022109010000542