TY - JOUR
T1 - Momentum profits and time-varying unsystematic risk
AU - Li, Xiafei
AU - Miffre, Joëlle
AU - Brooks, Chris
AU - O'Sullivan, Niall
PY - 2008/4
Y1 - 2008/4
N2 - This study assesses whether the widely documented momentum profits can be attributed to time-varying risk as described by a GJR-GARCH(1,1)-M model. We reveal that momentum profits are a compensation for time-varying unsystematic risks, which are common to the winner and loser stocks but affect the former more than the latter. In addition, we find that, perhaps because losers have a higher propensity than winners to disclose bad news, negative return shocks increase their volatility more than they increase those of the winners. The volatility of the losers is also found to respond to news more slowly, but eventually to a greater extent, than that of the winners.
AB - This study assesses whether the widely documented momentum profits can be attributed to time-varying risk as described by a GJR-GARCH(1,1)-M model. We reveal that momentum profits are a compensation for time-varying unsystematic risks, which are common to the winner and loser stocks but affect the former more than the latter. In addition, we find that, perhaps because losers have a higher propensity than winners to disclose bad news, negative return shocks increase their volatility more than they increase those of the winners. The volatility of the losers is also found to respond to news more slowly, but eventually to a greater extent, than that of the winners.
KW - GJR-GARCH(1,1)-M model
KW - Momentum profits
KW - Unsystematic risk
UR - https://www.scopus.com/pages/publications/41149100204
U2 - 10.1016/j.jbankfin.2007.03.014
DO - 10.1016/j.jbankfin.2007.03.014
M3 - Article
AN - SCOPUS:41149100204
SN - 0378-4266
VL - 32
SP - 541
EP - 558
JO - Journal of Banking and Finance
JF - Journal of Banking and Finance
IS - 4
ER -