Momentum profits and macroeconomic factors

Patricia L. Chelley-Steeley*, Antonios Signaos

*Corresponding author for this work

Research output: Contribution to journalArticle

Abstract

This article tests whether macroeconomic variables and market sentiment influence the size of momentum profits. It finds that although returns to the winner and loser portfolios are influenced by a range of macroeconomic and market wide variables; momentum profits are influenced only by the scale of portfolio outflows. Thus, when investors are sending their capital elsewhere, reduced funds at home, dampen the profitability of the momentum trading strategy. It also finds that when the market closes, below its opening level in the previous six months, momentum profits are higher, which might be a reflection of mean reversion in the market. © 2004 Taylor and Francis Ltd.

Original languageEnglish
Pages (from-to)433-436
Number of pages4
JournalApplied Economics Letters
Volume11
Issue number7
DOIs
Publication statusPublished - 10 Jun 2004

Keywords

  • macroeconomic variables
  • market sentiment
  • size of momentum profits

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