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초록
영어
We investigate the robustness of the momentum premium in the US over the period from 1927 to 2010 using a model that allows multiple structural breaks. We find that the risk-adjusted momentum premium is significantly positive only during certain periods, notably from the 1940s to the mid-1960s and from the mid-1970s to the late 1990s, and we find evidence that momentum has disappeared since the late 1990s. Our results further suggest that momentum profits have been slowly eroded away since the early 1990s, in a process which was delayed by the occurrence of the high-technology stock bubble of the 1990s. In particular, we estimate that the bubble accounted for at least 50% of momentum profits during the period from 1994 to 2000.
목차
Abstract
1. Introduction
2. Modelling Structural Changes in Premia
2.1. Multiple Change-Point Model
2.2. Estimation
2.3. Bayes Factors
3. Empirical Results
3.1. Momentum Returns
3.2. Momentum Premium and Structural Breaks
3.3. Is the Recent Period Unusual?
3.4. Discussion: Delays in the Disappearance of Momentum
4. Momentum Premium during Boom and Bust
5. Conclusion
Appendix
References
Table
Figure
1. Introduction
2. Modelling Structural Changes in Premia
2.1. Multiple Change-Point Model
2.2. Estimation
2.3. Bayes Factors
3. Empirical Results
3.1. Momentum Returns
3.2. Momentum Premium and Structural Breaks
3.3. Is the Recent Period Unusual?
3.4. Discussion: Delays in the Disappearance of Momentum
4. Momentum Premium during Boom and Bust
5. Conclusion
Appendix
References
Table
Figure
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참고문헌
자료제공 : 네이버학술정보