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| Author: | Griffin, J. M. Ji, X. Martin, S. |
| Title: | Momentum investing and business cycle risk: evidence from pole to pole |
| Journal: | Journal of Finance
2003 : DEC, VOL. 58:6, p. 2515-2547 |
| Index terms: | Business cycles Macroeconomics Financial risk Economic conditions Country comparisons |
| Language: | eng |
| Abstract: | The authors examine whether macroeconomic risk can explain momentum profits internationally. Neither an unconditional model based on the Chen, Roll, and Ross (Journal of business, 1986) factors nor a conditional forecasting model based on lagged instruments provides any evidence that macroeconomic risk variables can explain momentum. In addition, momentum profits around the world are economically large and statistically reliable in both good and bad economic states. |
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