Momentum profits and macroeconomic factors

Chelley-Steeley, Patricia L. and Signaos, Antonios (2004). Momentum profits and macroeconomic factors. Applied Economics Letters, 11 (7), pp. 433-436.

Abstract

This article tests whether macroeconomic variables and market sentiment influence the size of momentum profits. It finds that although returns to the winner and loser portfolios are influenced by a range of macroeconomic and market wide variables; momentum profits are influenced only by the scale of portfolio outflows. Thus, when investors are sending their capital elsewhere, reduced funds at home, dampen the profitability of the momentum trading strategy. It also finds that when the market closes, below its opening level in the previous six months, momentum profits are higher, which might be a reflection of mean reversion in the market. © 2004 Taylor and Francis Ltd.

Publication DOI: https://doi.org/10.1080/1350485042000191719
Divisions: Aston Business School > Accounting
Aston Business School > Accounting Research Group
Uncontrolled Keywords: macroeconomic variables,market sentiment,size of momentum profits,Economics and Econometrics
Full Text Link: http://www.info ... sue=7&spage=433
Related URLs: http://www.scop ... tnerID=8YFLogxK (Scopus URL)
Published Date: 2004-06-10
Authors: Chelley-Steeley, Patricia L.
Signaos, Antonios

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