Momentum profits following bull and bear markets

Siganos, Antonios; Chelley-Steeley, Patricia

Abstract

This paper examines the profitability that the widely published momentum strategy achieves following bull and bear markets. Investors can gain stronger momentum profits by adopting the continuation strategy after poor lagged market returns. The longer the duration used to describe the bear state, the stronger the momentum returns that are realised. The results contradict the theoretical findings of the investors' overconfidence model of Daniel et al. (‘Investor Psychology and Security Market Under- and Over-Reactions’, Journal of Finance, 53, 1839–85, 1998) and the follow-the-trend model of Kim (‘Long-term Momentum Hypothesis: Contrarian and Momentum Strategies’, Working Paper, 2002), but concur with the theoretical results of the traders' hesitation model of Du (‘Heterogeneity in Investor Confidence and Asset Market Under- and Overreaction’, Working Paper, 2002).

Citation

Siganos, A., & Chelley-Steeley, P. (2006). Momentum profits following bull and bear markets. Journal of Asset Management, 6(5), 381-388. https://doi.org/10.1057/palgrave.jam.2240188

• Journal Article Type: Article
• Online Publication Date: Jan 1, 2006
• Publication Date: 2006-01
• Deposit Date: Jul 6, 2021
• Journal: Journal of Asset Management
• Print ISSN: 1470-8272
• Electronic ISSN: 1479-179X
• Publisher: Palgrave Macmillan
• Peer Reviewed: Peer Reviewed
• Volume: 6
• Issue: 5
• Pages: 381-388
• DOI: https://doi.org/10.1057/palgrave.jam.2240188
• Keywords: market efficiency, momentum effect, bull and bear markets, behavioural finance
• Public URL: http://researchrepository.napier.ac.uk/Output/2785096