Artikel
Has the current global financial crisis significantly affected momentum profitability?
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.
- Sprache
-
Englisch
- Erschienen in
-
Journal: Cogent Business & Management ; ISSN: 2331-1975 ; Volume: 8 ; Year: 2021 ; Issue: 1 ; Pages: 1-20 ; Abingdon: Taylor & Francis
- Klassifikation
-
Management
- Thema
-
momentum profits
global financial crisis
conservatism
size
earnings-tomarket
book-to-market
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Ahmad, Ahmad
Bino, Adel
Tayeh, Mohammad
- Ereignis
-
Veröffentlichung
- (wer)
-
Taylor & Francis
- (wo)
-
Abingdon
- (wann)
-
2021
- DOI
-
doi:10.1080/23311975.2021.1932238
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Artikel
Beteiligte
- Ahmad, Ahmad
- Bino, Adel
- Tayeh, Mohammad
- Taylor & Francis
Entstanden
- 2021
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