Momentum profits and macroeconomic factors

Chelley-steeley, Patricia; Siganos, Antonios

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.

Citation

Chelley-steeley, P., & Siganos, A. (2004). Momentum profits and macroeconomic factors. Applied Economics Letters, 11(7), 433-436. https://doi.org/10.1080/1350485042000191719

• Journal Article Type: Article
• Publication Date: Jun 10, 2004
• Deposit Date: Jul 6, 2021
• Journal: Applied Economics Letters
• Print ISSN: 1350-4851
• Electronic ISSN: 1466-4291
• Publisher: Routledge
• Peer Reviewed: Peer Reviewed
• Volume: 11
• Issue: 7
• Pages: 433-436
• DOI: https://doi.org/10.1080/1350485042000191719
• Public URL: http://researchrepository.napier.ac.uk/Output/2785093