Momentum profits and time-varying unsystematic risk

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dc.contributor.authorLi, Xiafei
dc.contributor.authorMiffre, Joƫlle
dc.contributor.authorBrooks, Chris
dc.contributor.authorO'Sullivan, Niall
dc.date.accessioned2013-11-29T14:41:21Z
dc.date.available2013-11-29T14:41:21Z
dc.date.issued2008-04
dc.date.updated2013-07-02T15:42:19Z
dc.description.abstractThis study assesses whether the widely documented momentum profits can be attributed to time-varying risk as described by a GJR-GARCH(1,1)-M model. We reveal that momentum profits are a compensation for time-varying unsystematic risks, which are common to the winner and loser stocks but affect the former more than the latter. In addition, we find that, perhaps because losers have a higher propensity than winners to disclose bad news, negative return shocks increase their volatility more than they increase those of the winners. The volatility of the losers is also found to respond to news more slowly, but eventually to a greater extent, than that of the winners.en
dc.description.statusPeer revieweden
dc.description.versionAccepted Versionen
dc.format.mimetypeapplication/pdfen
dc.identifier.citationLI, X., MIFFRE, J., BROOKS, C. & Oā€™SULLIVAN, N. 2008. Momentum profits and time-varying unsystematic risk. Journal of Banking & Finance, 32, 541-558. doi: http://dx.doi.org/10.1016/j.jbankfin.2007.03.014en
dc.identifier.doi10.1016/j.jbankfin.2007.03.014
dc.identifier.endpage558en
dc.identifier.issn0378-4266
dc.identifier.issued4en
dc.identifier.journaltitleJournal of Banking and Financeen
dc.identifier.startpage541en
dc.identifier.urihttps://hdl.handle.net/10468/1271
dc.identifier.volume32en
dc.language.isoenen
dc.publisherElsevieren
dc.relation.urihttp://www.sciencedirect.com/science/article/pii/S0378426607001872
dc.rightsCopyright Ā© 2007 Elsevier B.V. All rights reserved. NOTICE: this is the authorā€™s version of a work that was accepted for publication in Journal of Banking & Finance. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Journal of Banking & Finance [Volume 32, Issue 4, April 2008, Pages 541ā€“558] http://dx.doi.org/10.1016/j.jbankfin.2007.03.014en
dc.subjectMomentum profitsen
dc.subjectUnsystematic risken
dc.subjectGJR-GARCH(1,1)-M modelen
dc.titleMomentum profits and time-varying unsystematic risken
dc.typeArticle (peer-reviewed)en
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