Has the current global financial crisis significantly affected momentum profitability?

In this study, we examine the behavior of stock price changes in an emerging market to search for possible momentum incidents. Our findings indicate that the existence of momentum can be characterized by the state of the economy, which is significantly correlated with the down market. We argue that...

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Autores principales:	Ahmad Ahmad, Adel Bino, Mohammad Tayeh
Formato:	article
Lenguaje:	EN
Publicado:	Taylor & Francis Group 2021
Materias:	momentum profits global financial crisis conservatism size earnings-to-market book-to-market Business HF5001-6182 Management. Industrial management HD28-70
Acceso en línea:	https://doaj.org/article/5eeddae29d8e4c7c8a0681fc09ff3afa
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spelling	oai:doaj.org-article:5eeddae29d8e4c7c8a0681fc09ff3afa2021-12-02T16:29:26ZHas the current global financial crisis significantly affected momentum profitability?2331-197510.1080/23311975.2021.1932238https://doaj.org/article/5eeddae29d8e4c7c8a0681fc09ff3afa2021-01-01T00:00:00Zhttp://dx.doi.org/10.1080/23311975.2021.1932238https://doaj.org/toc/2331-1975In this study, we examine the behavior of stock price changes in an emerging market to search for possible momentum incidents. Our findings indicate that the existence of momentum can be characterized by the state of the economy, which is significantly correlated with the down market. We argue that this is due to investors, who have diminishing marginal utility of wealth and, in turn, behave in a risk-averse manner, resulting in loser portfolios being responsible for the vast majority of the observed momentum profitability. Furthermore, we find that momentum profitability is stronger with longer formation and holding periods, despite few cases of winners’ return reversals. Our findings remain robust after controlling for size and book-to-market and earnings-to-market ratios.Ahmad AhmadAdel BinoMohammad TayehTaylor & Francis Grouparticlemomentum profitsglobal financial crisisconservatismsizeearnings-to-marketbook-to-marketBusinessHF5001-6182Management. Industrial managementHD28-70ENCogent Business & Management, Vol 8, Iss 1 (2021)
institution	DOAJ
collection	DOAJ
language	EN
topic	momentum profits global financial crisis conservatism size earnings-to-market book-to-market Business HF5001-6182 Management. Industrial management HD28-70
spellingShingle	momentum profits global financial crisis conservatism size earnings-to-market book-to-market Business HF5001-6182 Management. Industrial management HD28-70 Ahmad Ahmad Adel Bino Mohammad Tayeh Has the current global financial crisis significantly affected momentum profitability?
description	In this study, we examine the behavior of stock price changes in an emerging market to search for possible momentum incidents. Our findings indicate that the existence of momentum can be characterized by the state of the economy, which is significantly correlated with the down market. We argue that this is due to investors, who have diminishing marginal utility of wealth and, in turn, behave in a risk-averse manner, resulting in loser portfolios being responsible for the vast majority of the observed momentum profitability. Furthermore, we find that momentum profitability is stronger with longer formation and holding periods, despite few cases of winners’ return reversals. Our findings remain robust after controlling for size and book-to-market and earnings-to-market ratios.
format	article
author	Ahmad Ahmad Adel Bino Mohammad Tayeh
author_facet	Ahmad Ahmad Adel Bino Mohammad Tayeh
author_sort	Ahmad Ahmad
title	Has the current global financial crisis significantly affected momentum profitability?
title_short	Has the current global financial crisis significantly affected momentum profitability?
title_full	Has the current global financial crisis significantly affected momentum profitability?
title_fullStr	Has the current global financial crisis significantly affected momentum profitability?
title_full_unstemmed	Has the current global financial crisis significantly affected momentum profitability?
title_sort	has the current global financial crisis significantly affected momentum profitability?
publisher	Taylor & Francis Group
publishDate	2021
url	https://doaj.org/article/5eeddae29d8e4c7c8a0681fc09ff3afa
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Has the current global financial crisis significantly affected momentum profitability?

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