Galariotis, EC, Holmes, P, Kallinterakis, V et al. (1 more author) (2014) Market states, expectations, sentiment and momentum: How naive are investors? International Review of Financial Analysis, 32. pp. 1-12. ISSN 1057-5219
Abstract
Following Cooper et al. (CGH) 2004 we test whether market states are relevant for predicting UK momentum profits. However, rather than simply categorising up/down markets based on actual prices as CGH, we suggest that investors may view expectations and/or sentiment as important. Contrary to the findings for the US, we find that momentum returns are not related to CGH-defined market states. Similar findings hold for an expectations-based split. In contrast, for the whole sample period, construction and retail sentiment indicators explain differences in momentum profits. However, robustness tests suggest that their explanatory power is driven by the post-subprime crisis period.
Metadata
Item Type: | Article |
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Authors/Creators: |
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Copyright, Publisher and Additional Information: | © 2014 Elsevier Inc. This is an author produced version of a paper published in International Review of Financial Analysis. Uploaded in accordance with the publisher's self-archiving policy. |
Keywords: | Momentum; Futures; Expectations; Sentiment; Market states |
Dates: |
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Institution: | The University of Leeds |
Academic Units: | The University of Leeds > Faculty of Business (Leeds) > Accounting & Finance Division (LUBS) (Leeds) |
Depositing User: | Symplectic Publications |
Date Deposited: | 22 Jun 2016 15:01 |
Last Modified: | 17 Jan 2018 05:48 |
Published Version: | http://dx.doi.org/10.1016/j.irfa.2013.12.004 |
Status: | Published |
Publisher: | Elsevier |
Identification Number: | 10.1016/j.irfa.2013.12.004 |
Related URLs: | |
Open Archives Initiative ID (OAI ID): | oai:eprints.whiterose.ac.uk:89930 |