Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/245041 
Year of Publication: 
2021
Citation: 
[Journal:] Cogent Business & Management [ISSN:] 2331-1975 [Volume:] 8 [Issue:] 1 [Publisher:] Taylor & Francis [Place:] Abingdon [Year:] 2021 [Pages:] 1-20
Publisher: 
Taylor & Francis, Abingdon
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.
Subjects: 
momentum profits
global financial crisis
conservatism
size
earnings-tomarket
book-to-market
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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