IDEAS home Printed from https://ideas.repec.org/a/spr/empeco/v37y2009i1p105-130.html
   My bibliography  Save this article

Momentum, market states and investor behavior

Author

Listed:
  • Luis Muga
  • Rafael Santamaría

Abstract

No abstract is available for this item.

Suggested Citation

  • Luis Muga & Rafael Santamaría, 2009. "Momentum, market states and investor behavior," Empirical Economics, Springer, vol. 37(1), pages 105-130, September.
  • Handle: RePEc:spr:empeco:v:37:y:2009:i:1:p:105-130
    DOI: 10.1007/s00181-008-0225-y
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1007/s00181-008-0225-y
    Download Restriction: Access to full text is restricted to subscribers.

    File URL: https://libkey.io/10.1007/s00181-008-0225-y?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Harrison Hong & Jeremy C. Stein, 1999. "A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets," Journal of Finance, American Finance Association, vol. 54(6), pages 2143-2184, December.
    2. Luis Muga & Rafael Santamaría, 2007. "The Momentum Effect in Latin American Emerging Markets," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 43(4), pages 24-45, August.
    3. repec:bla:jfinan:v:59:y:2004:i:5:p:2145-2176 is not listed on IDEAS
    4. Barberis, Nicholas & Shleifer, Andrei & Vishny, Robert, 1998. "A model of investor sentiment," Journal of Financial Economics, Elsevier, vol. 49(3), pages 307-343, September.
    5. Markus Glaser & Martin Weber, 2003. "Momentum and Turnover: Evidence from the German Stock Market," Schmalenbach Business Review (sbr), LMU Munich School of Management, vol. 55(2), pages 108-135, April.
    6. Bruce N. Lehmann, 1990. "Fads, Martingales, and Market Efficiency," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 105(1), pages 1-28.
    7. Fama, Eugene F. & French, Kenneth R., 1993. "Common risk factors in the returns on stocks and bonds," Journal of Financial Economics, Elsevier, vol. 33(1), pages 3-56, February.
    8. Ulrich Schmidt & Horst Zank, 2005. "What is Loss Aversion?," Journal of Risk and Uncertainty, Springer, vol. 30(2), pages 157-167, January.
    9. John D. Lyon & Brad M. Barber & Chih‐Ling Tsai, 1999. "Improved Methods for Tests of Long‐Run Abnormal Stock Returns," Journal of Finance, American Finance Association, vol. 54(1), pages 165-201, February.
    10. Jegadeesh, Narasimhan, 1990. "Evidence of Predictable Behavior of Security Returns," Journal of Finance, American Finance Association, vol. 45(3), pages 881-898, July.
    11. Shefrin, Hersh & Statman, Meir, 1985. "The Disposition to Sell Winners Too Early and Ride Losers Too Long: Theory and Evidence," Journal of Finance, American Finance Association, vol. 40(3), pages 777-790, July.
    12. Fama, Eugene F & MacBeth, James D, 1973. "Risk, Return, and Equilibrium: Empirical Tests," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 607-636, May-June.
    13. repec:bla:jfinan:v:53:y:1998:i:6:p:1839-1885 is not listed on IDEAS
    14. Bing NMI1 Han & Mark Grinblatt, 2001. "The Disposition Effect and Momentum," Yale School of Management Working Papers ysm239, Yale School of Management.
    15. Allaudeen Hameed & Yuanto Kusnadi, 2002. "Momentum Strategies: Evidence from Pacific Basin Stock Markets," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 25(3), pages 383-397, September.
    16. Fama, Eugene F & French, Kenneth R, 1996. "Multifactor Explanations of Asset Pricing Anomalies," Journal of Finance, American Finance Association, vol. 51(1), pages 55-84, March.
    17. Narasimhan Jegadeesh & Sheridan Titman, 2001. "Profitability of Momentum Strategies: An Evaluation of Alternative Explanations," Journal of Finance, American Finance Association, vol. 56(2), pages 699-720, April.
    18. repec:bla:jfinan:v:53:y:1998:i:1:p:267-284 is not listed on IDEAS
    19. repec:bla:jfinan:v:59:y:2004:i:3:p:1345-1365 is not listed on IDEAS
    20. Grinblatt, Mark & Han, Bing, 2005. "Prospect theory, mental accounting, and momentum," Journal of Financial Economics, Elsevier, vol. 78(2), pages 311-339, November.
    21. Jegadeesh, Narasimhan & Titman, Sheridan, 1993. "Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency," Journal of Finance, American Finance Association, vol. 48(1), pages 65-91, March.
    22. Doron Avramov & Tarun Chordia, 2006. "Asset Pricing Models and Financial Market Anomalies," The Review of Financial Studies, Society for Financial Studies, vol. 19(3), pages 1001-1040.
    23. Bruce N. Lehmann, 1988. "Fads, Martingales, and Market Efficiency," NBER Working Papers 2533, National Bureau of Economic Research, Inc.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Zhang, Wei & Wang, Pengfei & Li, Yi, 2021. "Bond intraday momentum," Journal of Behavioral and Experimental Finance, Elsevier, vol. 31(C).
    2. Jorge Casado & Luis Muga & Rafael Santamaria, 2013. "The effect of US holidays on the European markets: when the cat’s away…," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 53(1), pages 111-136, March.
    3. Qiwei Chen & Ying Jiang & Yuan Li, 2012. "The state of the market and the contrarian strategy: evidence from China's stock market," Journal of Chinese Economic and Business Studies, Taylor & Francis Journals, vol. 10(1), pages 89-108, September.
    4. Mohamed S. Ahmed & John A. Doukas, 2021. "Revisiting disposition effect and momentum: a quantile regression perspective," Review of Quantitative Finance and Accounting, Springer, vol. 56(3), pages 1087-1128, April.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Adam Zaremba & Jacob Koby Shemer, 2018. "Price-Based Investment Strategies," Springer Books, Springer, number 978-3-319-91530-2, February.
    2. Luis Muga & Rafael Santamaria, 2007. "The momentum effect: omitted risk factors or investor behaviour? Evidence from the Spanish stock market," Quantitative Finance, Taylor & Francis Journals, vol. 7(6), pages 637-650.
    3. Martin H. Schmidt, 2017. "Trading strategies based on past returns: evidence from Germany," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 31(2), pages 201-256, May.
    4. Heston, Steven L. & Sadka, Ronnie, 2008. "Seasonality in the cross-section of stock returns," Journal of Financial Economics, Elsevier, vol. 87(2), pages 418-445, February.
    5. Weber, Martin & Welfens, Frank, 2007. "How do Markets React to Fundamental Shocks? An Experimental Analysis on Underreaction and Momentum," Sonderforschungsbereich 504 Publications 07-42, Sonderforschungsbereich 504, Universität Mannheim;Sonderforschungsbereich 504, University of Mannheim.
    6. Daniel, Kent & Hirshleifer, David & Teoh, Siew Hong, 2002. "Investor psychology in capital markets: evidence and policy implications," Journal of Monetary Economics, Elsevier, vol. 49(1), pages 139-209, January.
    7. Baltzer, Markus & Jank, Stephan & Smajlbegovic, Esad, 2019. "Who trades on momentum?," Journal of Financial Markets, Elsevier, vol. 42(C), pages 56-74.
    8. Amit Goyal, 2012. "Empirical cross-sectional asset pricing: a survey," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 26(1), pages 3-38, March.
    9. Bhootra, Ajay & Hur, Jungshik, 2012. "On the relationship between concentration of prospect theory/mental accounting investors, cointegration, and momentum," Journal of Banking & Finance, Elsevier, vol. 36(5), pages 1266-1275.
    10. van der Hart, Jaap & Slagter, Erica & van Dijk, Dick, 2003. "Stock selection strategies in emerging markets," Journal of Empirical Finance, Elsevier, vol. 10(1-2), pages 105-132, February.
    11. Shen, Qian & Szakmary, Andrew C. & Sharma, Subhash C., 2005. "Momentum and contrarian strategies in international stock markets: Further evidence," Journal of Multinational Financial Management, Elsevier, vol. 15(3), pages 235-255, July.
    12. Savor, Pavel G., 2012. "Stock returns after major price shocks: The impact of information," Journal of Financial Economics, Elsevier, vol. 106(3), pages 635-659.
    13. McInish, Thomas H. & Ding, David K. & Pyun, Chong Soo & Wongchoti, Udomsak, 2008. "Short-horizon contrarian and momentum strategies in Asian markets: An integrated analysis," International Review of Financial Analysis, Elsevier, vol. 17(2), pages 312-329.
    14. Sherif, Mohamed & Chen, Jiaqi, 2019. "The quality of governance and momentum profits: International evidence," The British Accounting Review, Elsevier, vol. 51(5).
    15. Wu, Yuliang & Mazouz, Khelifa, 2016. "Long-term industry reversals," Journal of Banking & Finance, Elsevier, vol. 68(C), pages 236-250.
    16. Cheng, Joseph W. & Wu, Hiu-fung, 2010. "The profitability of momentum trading strategies: Empirical evidence from Hong Kong," International Review of Economics & Finance, Elsevier, vol. 19(4), pages 527-538, October.
    17. Espinoza, Nicolás & Espinoza, Tomás, 2014. "The Momentum Effect In The Chilean Stock Market," Abante, Escuela de Administracion. Pontificia Universidad Católica de Chile., vol. 12(1), pages 1-32.
    18. Qiwei Chen & Ying Jiang & Yuan Li, 2012. "The state of the market and the contrarian strategy: evidence from China's stock market," Journal of Chinese Economic and Business Studies, Taylor & Francis Journals, vol. 10(1), pages 89-108, September.
    19. Gao, Ya & Guo, Bin & Xiong, Xiong, 2021. "Signed momentum in the Chinese stock market," Pacific-Basin Finance Journal, Elsevier, vol. 68(C).
    20. Chou, Pin-Huang & Wei, K.C. John & Chung, Huimin, 2007. "Sources of contrarian profits in the Japanese stock market," Journal of Empirical Finance, Elsevier, vol. 14(3), pages 261-286, June.

    More about this item

    Keywords

    Momentum effect; Market states; Behavioral finance; G12; G14;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:empeco:v:37:y:2009:i:1:p:105-130. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.