À繫¿¬±¸ Á¦ ±Ç È£ (2012³â 5¿ù)
Asian Review of Financial Research, Vol., No..
pp.277~329
pp.277~329
Time-Varying Expected Momentum Profits
Dongcheol Kim Korea University Business School
Tai-Yong Roh Graduate School of Finance, KAIST (Korea Advanced Institute of Science and Technology) Business School,
Suk-Joon Byun Graduate School of Finance, KAIST (Korea Advanced Institute of Science and Technology) Business School
Byoung-Kyu Min nstitute of Financial Analysis, University of Neuchatel, Pierre-a-Mazel 7, 2000 Neuchatel, Switzerland.
We examine time variations of the expected momentum profits using a two-state Markov switching model with time-varying transition probabilities to evaluate the empirical relevance of recent rational theories of the momentum profits. We find that in the expansion state the expected returns of winner stocks are more affected by aggregate economic conditions than those of loser stocks, while in the recession state the expected returns of loser stocks are more affected than those of winner stocks. Consequently, the expected momentum profits display strong procyclical variations. We argue that the observed momentum profits are realizations of such expected returns and can be interpreted as the procyclicality premium. We also find the economic significance of out-of-sample predictability of the momentum profits particularly for loser stocks and during the recession states.
Dongcheol Kim
Tai-Yong Roh
Suk-Joon Byun
Byoung-Kyu Min
We examine time variations of the expected momentum profits using a two-state Markov switching model with time-varying transition probabilities to evaluate the empirical relevance of recent rational theories of the momentum profits. We find that in the expansion state the expected returns of winner stocks are more affected by aggregate economic conditions than those of loser stocks, while in the recession state the expected returns of loser stocks are more affected than those of winner stocks. Consequently, the expected momentum profits display strong procyclical variations. We argue that the observed momentum profits are realizations of such expected returns and can be interpreted as the procyclicality premium. We also find the economic significance of out-of-sample predictability of the momentum profits particularly for loser stocks and during the recession states.