Momentum in global equity markets in times of troubles: Does the economic state matter?

This paper investigates the profitability of momentum-based trading strategies pursued during the most recent economic downturns in global equity markets. In contrast to previous studies, it reveals that such strategies generated statistically significant negative returns during the most recent recessions. These “momentum crashes” happen during market reversals following exceptionally large market declines, as occurred in March and April 2009.

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Year of publication:	2014
Authors:	Grobys, Klaus
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 123.2014, 1, p. 100-103
Publisher:	Elsevier
Subject:	Momentum \| Global equity markets \| International stock indices \| Business cycle

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Type of publication:	Article
Classification:	G12 - Asset Pricing ; G14 - Information and Market Efficiency; Event Studies
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011041612