Modelling momentum winner/loser asymmetry: the sources of winner and loser returns in the ASX200 and S&P500

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Abstract

There is an established body of work showing that the sources of momentum returns change over time. This paper finds that there is also winner/loser asymmetry – that the sources of the winner and loser components of momentum returns differ from each other at the same point in time. Together, these results raise concerns about the prospect of finding a single cause for momentum profits, as most efforts to date have tried to do. Rather, they indicate that investigation should proceed using time‐varying, nonparametric and ensemble techniques.
Original languageEnglish
Pages (from-to)657-684
Number of pages28
JournalAccounting and Finance
Volume59
Issue numberS1
Early online date19 Feb 2019
DOIs
Publication statusPublished - Apr 2019

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