Rational Sources of Momentum Profits: Evidence from the Indian Equity Market

2006 ◽  
Author(s):  
Sanjay Sehgal
Keyword(s):  
Equity Market ◽  
Momentum Profits

Momentum profits in the Australian equity market: A matched firm approach

2009 ◽  
Vol 17 (5) ◽  
pp. 565-579 ◽  
Author(s):  
Jenni L. Bettman ◽  
Thomas R.B. Maher ◽  
Stephen J. Sault
Keyword(s):  
Equity Market ◽  
Momentum Profits

scholarly journals Do momentum strategies perform better for Islamic stocks than for conventional stocks across market states?

2019 ◽  
Vol 64 (221) ◽  
pp. 107-129
Author(s):  
Lain-Tze Tee ◽  
Si-Roei Kew ◽  
Soo-Wah Low
Keyword(s):  
Risk Factors ◽  
Equity Market ◽  
Trading Strategies ◽  
Risk Compensation ◽  
Momentum Effect ◽  
Stock Trading ◽  
Momentum Strategies ◽  
Momentum Profits ◽  
State Dependent ◽  
Market State

This study compares the momentum profitability of Islamic and conventional stocks in Malaysia and examines whether the presence of momentum profits is market-state dependent. Winner portfolios are shown to outperform loser portfolios, suggesting that a momentum effect exists in the equity market. Islamic stocks exhibit stronger momentum than conventional stocks. Interestingly, although pursuing profit is not the primary goal of Islamic stock investors, the findings indicate that momentum profits for all Islamic stock trading strategies are higher than those for conventional stocks. The profits from momentum strategies for both stocks are market-state dependent. In all trading strategies, while there are significant positive momentum profits following market upturns, there is no evidence of profits subsequent to market downturns. Overall, Islamic stocks yield higher momentum profits than conventional stocks across market states. These findings are robust to using various measures of the state of the market. While the presence of momentum profits is also robust to the inclusion of Fama-French?s (1993) risk factors, the risk factors are unable to explain momentum profits, suggesting that the risk-adjusted momentum profits are not due to risk compensation. Rather, the profitability is evidence of stock mispricing.

Improving Transparency in the Private Equity Market

CFA Magazine ◽  
2011 ◽  
Vol 22 (3) ◽  
pp. 10-10
Author(s):  
Osman Ghani
Keyword(s):  
Private Equity ◽  
Equity Market

Hedging Equity Market Risk in Hedge Fund Investing: A New Approach

CFA Digest ◽  
2012 ◽  
Vol 42 (1) ◽  
pp. 9-11
Author(s):  
Keith Joseph MacIsaac
Keyword(s):  
Hedge Fund ◽  
Equity Market ◽  
Market Risk ◽  
New Approach

Are Indian Investors Return Chasers? An Anatomy of their Trading Behavior

GIS Business ◽  
2016 ◽  
Vol 11 (3) ◽  
pp. 32-44
Author(s):  
Martin Bernard ◽  
Malabika Deo
Keyword(s):  
Equity Returns ◽  
Trading Behavior ◽  
Momentum Effect ◽  
Momentum Strategy ◽  
Price Momentum ◽  
Momentum Profits ◽  
Indian Context ◽  
Time Period ◽  
Monthly Return ◽  
Indian Stock Market

Momentum has remained an unanswered anomaly in finance literature. Researchers have pointed out two arguments, whether the source of prior return anomalies are rational or behavioral. In this paper, we examined return chasing tendency investors and the profitability of probable price momentum strategy in Indian equity market using the monthly return data of equities represented in BSE-500 index encompassing the time period from July 2004 to Jun 2014. Study is an attempt to analyze momentum effect before, during and after the financial crisis of 2007–2009 to check whether investors continue to follow the same strategy during crisis or their behavior undergoes any change. Also study examined the adequacy of rational CAPM models to explain momentum profits. The result evidenced a strong presence of economically and statistically significant momentum profit in Indian stock market equity returns. Therefore return chasing tendency of Indian investors is found to be persistent in the intermediate horizon in Indian context. Closer observation of the results reveals that, Indian investors are winners chasers rather than investor in past losers. Study also confirmed that investors sentiments are volatile according to general market environment and inadequacy of rationalist equilibrium model to explain momentum profits.

Equity Market Liberalizations and Corporate Governance*

2008 ◽  
Author(s):  
Kee-Hong Bae ◽  
Vidhan K. Goyal ◽  
Angela Ng
Keyword(s):  
Corporate Governance ◽  
Equity Market
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