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