Momentum Profits and Time-Varying Unsystematic Risk

This study assesses whether the widely documented momentum profits can be ascribed to time-varying risk as described by a GJR-GARCH(1,1)-M model.

Author(s):

Xiafei LiPh.D.

student, Cass Business School, City University (UK)

Joelle Miffre

Associate Professor of Finance, EDHEC Business School

Chris Brooks

Professor of Finance, ICMA Centre, University of Reading (UK)

We reveal that, consistent with rational pricing in efficient markets momentum profits are a compensation for time-varying unsystematic risks, common to the winner and loser stocks. We also find that, because losers have a higher propensity than winners to disclose bad news, negative return shocks increase their volatility more than they increase that 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. Following Hong et al. (2000), we interpret this as a sign that managers of loser firms are reluctant to disclose bad news, while managers of winner firms are eager to release good news.
Pdf
Momentum Profits and Time-Varying Unsystematic Risk...
(-1.00 B)
Type: Working paper
Date: le 13/12/2007
Extra information : Pour plus d'informations, nous vous prions de vous adresser à Joanne Finlay, Direction de la recherche de l'EDHEC [ joanne.finlay@edhec.edu] Les opinions exprimées sont celles de l'auteur et n'engagent pas la responsabilité de l'EDHEC.
Research Cluster : Finance

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We reveal that, consistent with rational pricing in efficient markets momentum profits are a compensation for time-varying unsystematic risks, common to the winner and loser
stocks. We also find that, because losers have a higher propensity than winners to disclose bad news, negative return shocks increase their volatility more than they increase that 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.
Following Hong et al. (2000), we interpret this as a sign that managers of loser firms are reluctant to disclose bad news, while managers of winner firms are eager to release good news.

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["entity_view_prepared"]=> bool(true) } ["hostEntityId":protected]=> int(10541) ["hostEntityRevisionId":protected]=> bool(false) ["hostEntityType":protected]=> string(4) "node" ["langcode":protected]=> string(3) "und" ["item_id"]=> string(4) "9159" ["revision_id"]=> string(4) "9159" ["field_name"]=> string(15) "field_documents" ["default_revision"]=> string(1) "1" ["archived"]=> string(1) "0" ["entityType":protected]=> string(21) "field_collection_item" ["entityInfo":protected]=> array(25) { ["label"]=> string(21) "Field collection item" ["label callback"]=> string(18) "entity_class_label" ["uri callback"]=> string(16) "entity_class_uri" ["entity class"]=> string(25) "FieldCollectionItemEntity" ["controller class"]=> string(19) "EntityAPIController" ["base table"]=> string(21) "field_collection_item" ["revision table"]=> string(30) "field_collection_item_revision" ["fieldable"]=> bool(true) ["redirect"]=> bool(false) ["entity keys"]=> array(4) { ["id"]=> string(7) "item_id" ["revision"]=> string(11) "revision_id" ["bundle"]=> string(10) "field_name" ["uuid"]=> string(4) "uuid" } ["module"]=> string(16) "field_collection" ["view modes"]=> array(4) { ["full"]=> array(2) { ["label"]=> string(12) "Full content" ["custom settings"]=> bool(false) } ["diff_standard"]=> array(2) { ["label"]=> string(19) "Revision comparison" ["custom settings"]=> bool(false) } ["print"]=> array(2) { ["label"]=> string(5) "Print" ["custom settings"]=> bool(false) } ["token"]=> array(2) { ["label"]=> string(6) "Tokens" ["custom settings"]=> bool(false) } } ["access callback"]=> string(28) "field_collection_item_access" ["deletion callback"]=> string(28) "field_collection_item_delete" ["metadata controller class"]=> string(37) "FieldCollectionItemMetadataController" ["bundles"]=> array(2) { ["field_documents"]=> array(3) { ["label"]=> string(32) "Field collection field_documents" ["admin"]=> array(4) { ["path"]=> string(62) "admin/structure/field-collections/%field_collection_field_name" ["real path"]=> string(49) "admin/structure/field-collections/field-documents" ["bundle argument"]=> int(3) ["access arguments"]=> array(1) { [0]=> string(28) "administer field collections" } } ["rdf_mapping"]=> array(0) { } } ["field_publication_auteur"]=> array(3) { ["label"]=> string(41) "Field collection field_publication_auteur" ["admin"]=> array(4) { ["path"]=> string(62) "admin/structure/field-collections/%field_collection_field_name" ["real path"]=> string(58) "admin/structure/field-collections/field-publication-auteur" ["bundle argument"]=> int(3) ["access arguments"]=> array(1) { [0]=> string(28) "administer field collections" } } ["rdf_mapping"]=> array(0) { } } } ["static cache"]=> bool(true) ["field cache"]=> bool(true) ["load hook"]=> string(26) "field_collection_item_load" ["translation"]=> array(0) { } ["base table field types"]=> array(5) { ["item_id"]=> string(6) "serial" ["revision_id"]=> string(3) "int" ["field_name"]=> string(7) "varchar" ["archived"]=> string(3) "int" ["uuid"]=> string(4) "char" } ["schema_fields_sql"]=> array(2) { ["base table"]=> array(5) { [0]=> string(7) "item_id" [1]=> string(11) "revision_id" [2]=> string(10) "field_name" [3]=> string(8) "archived" [4]=> string(4) "uuid" } ["revision table"]=> array(2) { [0]=> string(11) "revision_id" [1]=> string(7) "item_id" } } ["token type"]=> string(21) "field_collection_item" ["configuration"]=> bool(false) ["uuid"]=> bool(true) } ["idKey":protected]=> string(7) "item_id" ["nameKey":protected]=> string(7) "item_id" ["statusKey":protected]=> string(6) "status" ["defaultLabel":protected]=> bool(false) ["wrapper":protected]=> NULL ["uuid"]=> string(36) "603a281c-af56-434d-9dbf-195e877e9ac4" ["field_title"]=> array(1) { ["und"]=> array(1) { [0]=> array(3) { ["value"]=> string(51) "Momentum Profits and Time-Varying Unsystematic Risk" ["format"]=> NULL ["safe_value"]=> string(51) "Momentum Profits and Time-Varying Unsystematic Risk" } } } ["field_fichier"]=> array(1) { ["und"]=> array(1) { [0]=> array(13) { ["fid"]=> string(5) "11467" ["uid"]=> string(1) "0" ["filename"]=> string(72) "com.univ.collaboratif.utils.LectureFichiergw?ID_FICHIER=1328885972642jpg" ["uri"]=> string(98) "public://publications/pdf/com.univ.collaboratif.utils.LectureFichiergw?ID_FICHIER=1328885972642jpg" ["filemime"]=> string(24) "application/octet-stream" ["filesize"]=> string(7) "1307237" ["status"]=> string(1) "1" ["timestamp"]=> string(10) "1474027779" ["type"]=> string(7) "default" ["uuid"]=> string(36) "2229aa3e-a733-4d07-a538-3761133a11f2" ["rdf_mapping"]=> array(0) { } ["display"]=> string(1) "1" ["description"]=> NULL } } } ["field_type_de_fichier"]=> array(1) { ["und"]=> array(1) { [0]=> array(2) { ["tid"]=> string(2) "33" ["taxonomy_term"]=> object(stdClass)#356 (12) { ["tid"]=> string(2) "33" ["vid"]=> string(1) "8" ["name"]=> string(3) "Pdf" ["description"]=> string(0) "" ["format"]=> string(9) "full_html" ["weight"]=> string(1) "0" ["uuid"]=> string(36) "8fcea7ed-9687-49cd-8d86-f09b1383a4e4" ["language"]=> string(3) "und" ["i18n_tsid"]=> string(1) "0" ["vocabulary_machine_name"]=> string(7) "fichier" ["rdf_mapping"]=> array(5) { ["rdftype"]=> array(1) { [0]=> string(12) "skos:Concept" } ["name"]=> array(1) { ["predicates"]=> array(2) { [0]=> string(10) "rdfs:label" [1]=> string(14) "skos:prefLabel" } } ["description"]=> array(1) { ["predicates"]=> array(1) { [0]=> string(15) "skos:definition" } } ["vid"]=> array(2) { ["predicates"]=> array(1) { [0]=> string(13) "skos:inScheme" } ["type"]=> string(3) "rel" } ["parent"]=> array(2) { ["predicates"]=> array(1) { [0]=> string(12) "skos:broader" } ["type"]=> string(3) "rel" } } ["path"]=> array(1) { ["pathauto"]=> string(1) "1" } } } } } ["rdf_mapping"]=> array(0) { } ["entity_view_prepared"]=> bool(true) } ["#items"]=> array(1) { [0]=> array(3) { ["value"]=> string(51) "Momentum Profits and Time-Varying Unsystematic Risk" ["format"]=> NULL ["safe_value"]=> string(51) "Momentum Profits and Time-Varying Unsystematic Risk" } } ["#formatter"]=> string(10) "text_plain" [0]=> array(1) { ["#markup"]=> string(51) "Momentum Profits and Time-Varying Unsystematic Risk" } } ["field_fichier"]=> array(16) { ["#theme"]=> string(5) "field" ["#weight"]=> string(1) "2" ["#title"]=> string(7) "Fichier" ["#access"]=> bool(true) ["#label_display"]=> string(6) "hidden" ["#view_mode"]=> string(4) "full" ["#language"]=> string(3) "und" ["#field_name"]=> string(13) "field_fichier" ["#field_type"]=> string(4) "file" ["#field_translatable"]=> string(1) "0" ["#entity_type"]=> string(21) "field_collection_item" ["#bundle"]=> string(15) "field_documents" ["#object"]=> object(FieldCollectionItemEntity)#281 (24) { ["fieldInfo":protected]=> NULL ["hostEntity":protected]=> object(stdClass)#216 (39) { ["vid"]=> string(5) "10541" ["uid"]=> string(1) "0" ["title"]=> string(51) "Momentum Profits and Time-Varying Unsystematic Risk" ["log"]=> string(0) "" ["status"]=> string(1) "1" ["comment"]=> string(1) "0" ["promote"]=> string(1) "0" ["sticky"]=> string(1) "0" ["vuuid"]=> string(36) "5a2036af-1ec9-4a26-933a-f9e13d5c5bbc" ["nid"]=> string(5) "10541" ["type"]=> string(11) "publication" ["language"]=> string(3) "und" ["created"]=> string(10) "1474027797" ["changed"]=> string(10) "1480342506" ["tnid"]=> string(1) "0" ["translate"]=> string(1) "0" ["uuid"]=> string(36) "203dd282-f5d8-44cd-af57-bef02a6a7ee4" ["revision_timestamp"]=> string(10) "1480342506" ["revision_uid"]=> string(1) "1" ["body"]=> array(1) { ["und"]=> array(1) { [0]=> array(3) { ["value"]=> string(715) " We reveal that, consistent with rational pricing in efficient markets momentum profits are a compensation for time-varying unsystematic risks, common to the winner and loser stocks. We also find that, because losers have a higher propensity than winners to disclose bad news, negative return shocks increase their volatility more than they increase that 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. Following Hong et al. (2000), we interpret this as a sign that managers of loser firms are reluctant to disclose bad news, while managers of winner firms are eager to release good news. " ["summary"]=> string(145) "This study assesses whether the widely documented momentum profits can be ascribed to time-varying risk as described by a GJR-GARCH(1,1)-M model." ["format"]=> NULL } } } ["field_type_publication"]=> array(1) { ["und"]=> array(1) { [0]=> array(1) { ["tid"]=> string(2) "58" } } } ["field_pole_recherche"]=> array(1) { ["und"]=> array(1) { [0]=> array(1) { ["tid"]=> string(2) "60" } } } ["field_date"]=> array(1) { ["und"]=> array(1) { [0]=> array(5) { ["value"]=> string(19) "2007-12-13 00:00:00" ["value2"]=> NULL ["timezone"]=> string(12) "Europe/Paris" ["timezone_db"]=> string(12) "Europe/Paris" ["date_type"]=> string(8) "datetime" } } } ["field_image_publication"]=> array(1) { ["und"]=> array(1) { [0]=> array(15) { ["fid"]=> string(5) "11466" ["uid"]=> string(1) "0" ["filename"]=> string(87) "com.univ.collaboratif.utils.LectureFichiergw?ID_FICHIER=1225266748632&ID_FICHE=2378" ["uri"]=> string(116) "public://publications/images/com.univ.collaboratif.utils.LectureFichiergw?ID_FICHIER=1225266748632&ID_FICHE=2378" ["filemime"]=> string(24) "application/octet-stream" ["filesize"]=> string(4) "5165" ["status"]=> string(1) "1" ["timestamp"]=> string(10) "1474027779" ["type"]=> string(7) "default" ["uuid"]=> string(36) "53c2f36c-629f-4bc8-8580-9901513d3ca3" ["rdf_mapping"]=> array(0) { } ["alt"]=> NULL ["title"]=> NULL ["width"]=> string(3) "186" ["height"]=> string(3) "264" } } } ["field_documents"]=> array(1) { ["und"]=> array(2) { [0]=> array(2) { ["value"]=> string(4) "9159" ["revision_id"]=> string(4) "9159" } [1]=> array(2) { ["value"]=> NULL ["revision_id"]=> NULL } } } ["field_lien"]=> array(0) { } ["field_complement_d_information"]=> array(1) { ["und"]=> array(1) { [0]=> array(2) { ["value"]=> string(242) "Pour plus d'informations, nous vous prions de vous adresser à Joanne Finlay, Direction de la recherche de l'EDHEC [ joanne.finlay@edhec.edu] Les opinions exprimées sont celles de l'auteur et n'engagent pas la responsabilité de l'EDHEC." ["format"]=> NULL } } } ["field_publication_auteur"]=> array(1) { ["und"]=> array(6) { [0]=> array(2) { ["value"]=> string(4) "9160" ["revision_id"]=> string(4) "9160" } [1]=> array(2) { ["value"]=> NULL ["revision_id"]=> NULL } [2]=> array(2) { ["value"]=> string(4) "9161" ["revision_id"]=> string(4) "9161" } [3]=> array(2) { ["value"]=> NULL ["revision_id"]=> NULL } [4]=> array(2) { ["value"]=> string(4) "9162" ["revision_id"]=> string(4) "9162" } [5]=> array(2) { ["value"]=> NULL ["revision_id"]=> NULL } } } ["field_revue"]=> array(0) { } ["field_cible"]=> array(0) { } ["field_classement_cnrs"]=> array(0) { } ["rdf_mapping"]=> array(9) { ["rdftype"]=> array(2) { [0]=> string(9) "sioc:Item" [1]=> string(13) "foaf:Document" } ["title"]=> array(1) { ["predicates"]=> array(1) { [0]=> string(8) "dc:title" } } ["created"]=> array(3) { ["predicates"]=> array(2) { [0]=> string(7) "dc:date" [1]=> string(10) "dc:created" } ["datatype"]=> string(12) "xsd:dateTime" ["callback"]=> string(12) "date_iso8601" } ["changed"]=> array(3) { ["predicates"]=> array(1) { [0]=> string(11) "dc:modified" } ["datatype"]=> string(12) "xsd:dateTime" ["callback"]=> string(12) "date_iso8601" } ["body"]=> array(1) { ["predicates"]=> array(1) { [0]=> string(15) "content:encoded" } } ["uid"]=> array(2) { ["predicates"]=> array(1) { [0]=> string(16) "sioc:has_creator" } ["type"]=> string(3) "rel" } ["name"]=> array(1) { ["predicates"]=> array(1) { [0]=> string(9) "foaf:name" } } ["comment_count"]=> array(2) { ["predicates"]=> array(1) { [0]=> string(16) "sioc:num_replies" } ["datatype"]=> string(11) "xsd:integer" } ["last_activity"]=> array(3) { ["predicates"]=> array(1) { [0]=> string(23) "sioc:last_activity_date" } ["datatype"]=> string(12) "xsd:dateTime" ["callback"]=> string(12) "date_iso8601" } } ["name"]=> string(0) "" ["picture"]=> string(1) "0" ["data"]=> NULL ["print_html_display"]=> int(1) ["print_html_display_comment"]=> int(0) ["print_html_display_urllist"]=> int(1) ["entity_view_prepared"]=> bool(true) } ["hostEntityId":protected]=> int(10541) ["hostEntityRevisionId":protected]=> bool(false) ["hostEntityType":protected]=> string(4) "node" ["langcode":protected]=> string(3) "und" ["item_id"]=> string(4) "9159" ["revision_id"]=> string(4) "9159" ["field_name"]=> string(15) "field_documents" ["default_revision"]=> string(1) "1" ["archived"]=> string(1) "0" ["entityType":protected]=> string(21) "field_collection_item" ["entityInfo":protected]=> array(25) { ["label"]=> string(21) "Field collection item" ["label callback"]=> string(18) "entity_class_label" ["uri callback"]=> string(16) "entity_class_uri" ["entity class"]=> string(25) "FieldCollectionItemEntity" ["controller class"]=> string(19) "EntityAPIController" ["base table"]=> string(21) "field_collection_item" ["revision table"]=> string(30) "field_collection_item_revision" ["fieldable"]=> bool(true) ["redirect"]=> bool(false) ["entity keys"]=> array(4) { ["id"]=> string(7) "item_id" ["revision"]=> string(11) "revision_id" ["bundle"]=> string(10) "field_name" ["uuid"]=> string(4) "uuid" } ["module"]=> string(16) "field_collection" ["view modes"]=> array(4) { ["full"]=> array(2) { ["label"]=> string(12) "Full content" ["custom settings"]=> bool(false) } ["diff_standard"]=> array(2) { ["label"]=> string(19) "Revision comparison" ["custom settings"]=> bool(false) } ["print"]=> array(2) { ["label"]=> string(5) "Print" ["custom settings"]=> bool(false) } ["token"]=> array(2) { ["label"]=> string(6) "Tokens" ["custom settings"]=> bool(false) } } ["access callback"]=> string(28) "field_collection_item_access" ["deletion callback"]=> string(28) "field_collection_item_delete" ["metadata controller class"]=> string(37) "FieldCollectionItemMetadataController" ["bundles"]=> array(2) { ["field_documents"]=> array(3) { ["label"]=> string(32) "Field collection field_documents" ["admin"]=> array(4) { ["path"]=> string(62) "admin/structure/field-collections/%field_collection_field_name" ["real path"]=> string(49) "admin/structure/field-collections/field-documents" ["bundle argument"]=> int(3) ["access arguments"]=> array(1) { [0]=> string(28) "administer field collections" } } ["rdf_mapping"]=> array(0) { } } ["field_publication_auteur"]=> array(3) { ["label"]=> string(41) "Field collection field_publication_auteur" ["admin"]=> array(4) { ["path"]=> string(62) "admin/structure/field-collections/%field_collection_field_name" ["real path"]=> string(58) "admin/structure/field-collections/field-publication-auteur" ["bundle argument"]=> int(3) ["access arguments"]=> array(1) { [0]=> string(28) "administer field collections" } } ["rdf_mapping"]=> array(0) { } } } ["static cache"]=> bool(true) ["field cache"]=> bool(true) ["load hook"]=> string(26) "field_collection_item_load" ["translation"]=> array(0) { } ["base table field types"]=> array(5) { ["item_id"]=> string(6) "serial" ["revision_id"]=> string(3) 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Les opinions exprimées sont celles de l'auteur et n'engagent pas la responsabilité de l'EDHEC.

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We reveal that, consistent with rational pricing in efficient markets momentum profits are a compensation for time-varying unsystematic risks, common to the winner and loser stocks. We also find that, because losers have a higher propensity than winners to disclose bad news, negative return shocks increase their volatility more than they increase that 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. Following Hong et al. (2000), we interpret this as a sign that managers of loser firms are reluctant to disclose bad news, while managers of winner firms are eager to release good news. " ["summary"]=> string(145) "This study assesses whether the widely documented momentum profits can be ascribed to time-varying risk as described by a GJR-GARCH(1,1)-M model." 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We reveal that, consistent with rational pricing in efficient markets momentum profits are a compensation for time-varying unsystematic risks, common to the winner and loser
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Following Hong et al. (2000), we interpret this as a sign that managers of loser firms are reluctant to disclose bad news, while managers of winner firms are eager to release good news.

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["revision"]=> string(11) "revision_id" ["bundle"]=> string(10) "field_name" ["uuid"]=> string(4) "uuid" } ["module"]=> string(16) "field_collection" ["view modes"]=> array(4) { ["full"]=> array(2) { ["label"]=> string(12) "Full content" ["custom settings"]=> bool(false) } ["diff_standard"]=> array(2) { ["label"]=> string(19) "Revision comparison" ["custom settings"]=> bool(false) } ["print"]=> array(2) { ["label"]=> string(5) "Print" ["custom settings"]=> bool(false) } ["token"]=> array(2) { ["label"]=> string(6) "Tokens" ["custom settings"]=> bool(false) } } ["access callback"]=> string(28) "field_collection_item_access" ["deletion callback"]=> string(28) "field_collection_item_delete" ["metadata controller class"]=> string(37) "FieldCollectionItemMetadataController" ["bundles"]=> array(2) { ["field_documents"]=> array(3) { ["label"]=> string(32) "Field collection field_documents" ["admin"]=> array(4) { ["path"]=> string(62) "admin/structure/field-collections/%field_collection_field_name" ["real path"]=> string(49) "admin/structure/field-collections/field-documents" ["bundle argument"]=> int(3) ["access arguments"]=> array(1) { [0]=> string(28) "administer field collections" } } ["rdf_mapping"]=> array(0) { } } ["field_publication_auteur"]=> array(3) { ["label"]=> string(41) "Field collection field_publication_auteur" ["admin"]=> array(4) { ["path"]=> string(62) "admin/structure/field-collections/%field_collection_field_name" ["real path"]=> string(58) "admin/structure/field-collections/field-publication-auteur" ["bundle argument"]=> int(3) ["access arguments"]=> array(1) { [0]=> string(28) "administer field collections" } } ["rdf_mapping"]=> array(0) { } } } ["static cache"]=> bool(true) ["field cache"]=> bool(true) ["load hook"]=> string(26) "field_collection_item_load" ["translation"]=> array(0) { } ["base table field types"]=> array(5) { ["item_id"]=> string(6) "serial" ["revision_id"]=> string(3) "int" ["field_name"]=> string(7) "varchar" ["archived"]=> string(3) "int" ["uuid"]=> string(4) "char" } ["schema_fields_sql"]=> array(2) { ["base table"]=> array(5) { [0]=> string(7) "item_id" [1]=> string(11) "revision_id" [2]=> string(10) "field_name" [3]=> string(8) "archived" [4]=> string(4) "uuid" } ["revision table"]=> array(2) { [0]=> string(11) "revision_id" [1]=> string(7) "item_id" } } ["token type"]=> string(21) "field_collection_item" ["configuration"]=> bool(false) ["uuid"]=> bool(true) } ["idKey":protected]=> string(7) "item_id" ["nameKey":protected]=> string(7) "item_id" ["statusKey":protected]=> string(6) "status" ["defaultLabel":protected]=> bool(false) ["wrapper":protected]=> NULL ["uuid"]=> string(36) "603a281c-af56-434d-9dbf-195e877e9ac4" ["field_title"]=> array(1) { ["und"]=> array(1) { [0]=> array(3) { ["value"]=> string(51) "Momentum Profits and Time-Varying Unsystematic Risk" ["format"]=> NULL ["safe_value"]=> string(51) "Momentum Profits and Time-Varying Unsystematic Risk" } } } ["field_fichier"]=> array(1) { ["und"]=> array(1) { [0]=> array(13) { ["fid"]=> string(5) "11467" ["uid"]=> string(1) "0" ["filename"]=> string(72) "com.univ.collaboratif.utils.LectureFichiergw?ID_FICHIER=1328885972642jpg" ["uri"]=> string(98) "public://publications/pdf/com.univ.collaboratif.utils.LectureFichiergw?ID_FICHIER=1328885972642jpg" ["filemime"]=> string(24) "application/octet-stream" ["filesize"]=> string(7) "1307237" ["status"]=> string(1) "1" ["timestamp"]=> string(10) "1474027779" ["type"]=> string(7) "default" ["uuid"]=> string(36) "2229aa3e-a733-4d07-a538-3761133a11f2" ["rdf_mapping"]=> array(0) { } ["display"]=> string(1) "1" ["description"]=> NULL } } } ["field_type_de_fichier"]=> array(1) { ["und"]=> array(1) { [0]=> array(2) { ["tid"]=> string(2) "33" ["taxonomy_term"]=> object(stdClass)#356 (12) { ["tid"]=> string(2) "33" ["vid"]=> string(1) "8" ["name"]=> string(3) "Pdf" ["description"]=> string(0) "" ["format"]=> string(9) "full_html" ["weight"]=> string(1) "0" ["uuid"]=> string(36) "8fcea7ed-9687-49cd-8d86-f09b1383a4e4" ["language"]=> string(3) "und" ["i18n_tsid"]=> string(1) "0" ["vocabulary_machine_name"]=> string(7) "fichier" ["rdf_mapping"]=> array(5) { ["rdftype"]=> array(1) { [0]=> string(12) "skos:Concept" } ["name"]=> array(1) { ["predicates"]=> array(2) { [0]=> string(10) "rdfs:label" [1]=> string(14) "skos:prefLabel" } } ["description"]=> array(1) { ["predicates"]=> array(1) { [0]=> string(15) "skos:definition" } } ["vid"]=> array(2) { ["predicates"]=> array(1) { [0]=> string(13) "skos:inScheme" } ["type"]=> string(3) "rel" } ["parent"]=> array(2) { ["predicates"]=> array(1) { [0]=> string(12) "skos:broader" } ["type"]=> string(3) "rel" } } ["path"]=> array(1) { ["pathauto"]=> string(1) "1" } } } } } ["rdf_mapping"]=> array(0) { } ["entity_view_prepared"]=> bool(true) } ["#items"]=> array(1) { [0]=> array(13) { ["fid"]=> string(5) "11467" ["uid"]=> string(1) "0" ["filename"]=> string(72) "com.univ.collaboratif.utils.LectureFichiergw?ID_FICHIER=1328885972642jpg" ["uri"]=> string(98) "public://publications/pdf/com.univ.collaboratif.utils.LectureFichiergw?ID_FICHIER=1328885972642jpg" ["filemime"]=> string(24) "application/octet-stream" ["filesize"]=> string(7) "1307237" ["status"]=> string(1) "1" ["timestamp"]=> string(10) "1474027779" ["type"]=> string(7) "default" ["uuid"]=> string(36) "2229aa3e-a733-4d07-a538-3761133a11f2" ["rdf_mapping"]=> array(0) { } ["display"]=> string(1) "1" ["description"]=> NULL } } ["#formatter"]=> string(12) "file_default" [0]=> array(2) { ["#theme"]=> string(9) "file_link" ["#file"]=> object(stdClass)#352 (13) { ["fid"]=> string(5) "11467" ["uid"]=> string(1) "0" ["filename"]=> string(275) "com.univ.collaboratif.utils.LectureFichiergw?ID_FICHIER=1328885972642jpg" ["uri"]=> string(98) "public://publications/pdf/com.univ.collaboratif.utils.LectureFichiergw?ID_FICHIER=1328885972642jpg" ["filemime"]=> string(24) "application/octet-stream" ["filesize"]=> string(7) "1307237" ["status"]=> string(1) "1" ["timestamp"]=> string(10) "1474027779" ["type"]=> string(7) "default" ["uuid"]=> string(36) "2229aa3e-a733-4d07-a538-3761133a11f2" ["rdf_mapping"]=> array(0) { } ["display"]=> string(1) "1" ["description"]=> NULL } } } ["field_type_de_fichier"]=> array(16) { ["#theme"]=> string(5) "field" ["#weight"]=> string(1) "0" ["#title"]=> string(15) "Type de fichier" ["#access"]=> bool(true) ["#label_display"]=> string(6) "hidden" ["#view_mode"]=> string(4) "full" ["#language"]=> string(3) "und" ["#field_name"]=> string(21) "field_type_de_fichier" ["#field_type"]=> string(23) "taxonomy_term_reference" ["#field_translatable"]=> string(1) "0" ["#entity_type"]=> string(21) "field_collection_item" ["#bundle"]=> string(15) "field_documents" ["#object"]=> object(FieldCollectionItemEntity)#281 (24) { ["fieldInfo":protected]=> NULL ["hostEntity":protected]=> object(stdClass)#216 (39) { ["vid"]=> string(5) "10541" ["uid"]=> string(1) "0" ["title"]=> string(51) "Momentum Profits and Time-Varying Unsystematic Risk" ["log"]=> string(0) "" ["status"]=> string(1) "1" ["comment"]=> string(1) "0" ["promote"]=> string(1) "0" ["sticky"]=> string(1) "0" ["vuuid"]=> string(36) "5a2036af-1ec9-4a26-933a-f9e13d5c5bbc" ["nid"]=> string(5) "10541" ["type"]=> string(11) "publication" ["language"]=> string(3) "und" ["created"]=> string(10) "1474027797" ["changed"]=> string(10) "1480342506" ["tnid"]=> string(1) "0" ["translate"]=> string(1) "0" ["uuid"]=> string(36) "203dd282-f5d8-44cd-af57-bef02a6a7ee4" ["revision_timestamp"]=> string(10) "1480342506" ["revision_uid"]=> string(1) "1" ["body"]=> array(1) { ["und"]=> array(1) { [0]=> array(3) { ["value"]=> string(715) " We reveal that, consistent with rational pricing in efficient markets momentum profits are a compensation for time-varying unsystematic risks, common to the winner and loser stocks. We also find that, because losers have a higher propensity than winners to disclose bad news, negative return shocks increase their volatility more than they increase that 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. Following Hong et al. (2000), we interpret this as a sign that managers of loser firms are reluctant to disclose bad news, while managers of winner firms are eager to release good news. " ["summary"]=> string(145) "This study assesses whether the widely documented momentum profits can be ascribed to time-varying risk as described by a GJR-GARCH(1,1)-M model." ["format"]=> NULL } } } ["field_type_publication"]=> array(1) { ["und"]=> array(1) { [0]=> array(1) { ["tid"]=> string(2) "58" } } } ["field_pole_recherche"]=> array(1) { ["und"]=> array(1) { [0]=> array(1) { ["tid"]=> string(2) "60" } } } ["field_date"]=> array(1) { ["und"]=> array(1) { [0]=> array(5) { ["value"]=> string(19) "2007-12-13 00:00:00" ["value2"]=> NULL ["timezone"]=> string(12) "Europe/Paris" ["timezone_db"]=> string(12) "Europe/Paris" ["date_type"]=> string(8) "datetime" } } } ["field_image_publication"]=> array(1) { ["und"]=> array(1) { [0]=> array(15) { ["fid"]=> string(5) "11466" ["uid"]=> string(1) "0" ["filename"]=> string(87) "com.univ.collaboratif.utils.LectureFichiergw?ID_FICHIER=1225266748632&ID_FICHE=2378" ["uri"]=> string(116) "public://publications/images/com.univ.collaboratif.utils.LectureFichiergw?ID_FICHIER=1225266748632&ID_FICHE=2378" ["filemime"]=> string(24) "application/octet-stream" ["filesize"]=> string(4) "5165" ["status"]=> string(1) "1" ["timestamp"]=> string(10) "1474027779" ["type"]=> string(7) "default" ["uuid"]=> string(36) "53c2f36c-629f-4bc8-8580-9901513d3ca3" ["rdf_mapping"]=> array(0) { } ["alt"]=> NULL ["title"]=> NULL ["width"]=> string(3) "186" ["height"]=> string(3) "264" } } } ["field_documents"]=> array(1) { ["und"]=> array(2) { [0]=> array(2) { ["value"]=> string(4) "9159" ["revision_id"]=> string(4) "9159" } [1]=> array(2) { ["value"]=> NULL ["revision_id"]=> NULL } } } ["field_lien"]=> array(0) { } ["field_complement_d_information"]=> array(1) { ["und"]=> array(1) { [0]=> array(2) { ["value"]=> string(242) "Pour plus d'informations, nous vous prions de vous adresser à Joanne Finlay, Direction de la recherche de l'EDHEC [ joanne.finlay@edhec.edu] Les opinions exprimées sont celles de l'auteur et n'engagent pas la responsabilité de l'EDHEC." ["format"]=> NULL } } } ["field_publication_auteur"]=> array(1) { ["und"]=> array(6) { [0]=> array(2) { ["value"]=> string(4) "9160" ["revision_id"]=> string(4) "9160" } [1]=> array(2) { ["value"]=> NULL ["revision_id"]=> NULL } [2]=> array(2) { ["value"]=> string(4) "9161" ["revision_id"]=> string(4) "9161" } [3]=> array(2) { ["value"]=> NULL ["revision_id"]=> NULL } [4]=> array(2) { ["value"]=> string(4) "9162" ["revision_id"]=> string(4) "9162" } [5]=> array(2) { ["value"]=> NULL ["revision_id"]=> NULL } } } ["field_revue"]=> array(0) { } ["field_cible"]=> array(0) { } ["field_classement_cnrs"]=> array(0) { } ["rdf_mapping"]=> array(9) { ["rdftype"]=> array(2) { [0]=> string(9) "sioc:Item" [1]=> string(13) "foaf:Document" } ["title"]=> array(1) { ["predicates"]=> array(1) { [0]=> string(8) "dc:title" } } ["created"]=> array(3) { ["predicates"]=> array(2) { [0]=> string(7) "dc:date" [1]=> string(10) "dc:created" } ["datatype"]=> string(12) "xsd:dateTime" ["callback"]=> string(12) "date_iso8601" } ["changed"]=> array(3) { ["predicates"]=> array(1) { [0]=> string(11) "dc:modified" } ["datatype"]=> string(12) "xsd:dateTime" ["callback"]=> string(12) "date_iso8601" } ["body"]=> array(1) { ["predicates"]=> array(1) { [0]=> string(15) "content:encoded" } } ["uid"]=> array(2) { ["predicates"]=> array(1) { [0]=> string(16) "sioc:has_creator" } ["type"]=> string(3) "rel" } ["name"]=> array(1) { ["predicates"]=> array(1) { [0]=> string(9) "foaf:name" } } ["comment_count"]=> array(2) { ["predicates"]=> array(1) { [0]=> string(16) "sioc:num_replies" } ["datatype"]=> string(11) "xsd:integer" } ["last_activity"]=> array(3) { ["predicates"]=> array(1) { [0]=> string(23) "sioc:last_activity_date" } ["datatype"]=> string(12) "xsd:dateTime" ["callback"]=> string(12) "date_iso8601" } } ["name"]=> string(0) "" ["picture"]=> string(1) "0" ["data"]=> NULL ["print_html_display"]=> int(1) ["print_html_display_comment"]=> int(0) ["print_html_display_urllist"]=> int(1) ["entity_view_prepared"]=> bool(true) } ["hostEntityId":protected]=> int(10541) ["hostEntityRevisionId":protected]=> bool(false) ["hostEntityType":protected]=> string(4) "node" ["langcode":protected]=> string(3) "und" ["item_id"]=> string(4) "9159" ["revision_id"]=> string(4) "9159" ["field_name"]=> string(15) "field_documents" ["default_revision"]=> string(1) "1" ["archived"]=> string(1) "0" ["entityType":protected]=> string(21) "field_collection_item" ["entityInfo":protected]=> array(25) { ["label"]=> string(21) "Field collection item" ["label callback"]=> string(18) "entity_class_label" ["uri callback"]=> string(16) "entity_class_uri" ["entity class"]=> string(25) "FieldCollectionItemEntity" ["controller class"]=> string(19) "EntityAPIController" ["base table"]=> string(21) "field_collection_item" ["revision table"]=> string(30) "field_collection_item_revision" ["fieldable"]=> bool(true) ["redirect"]=> bool(false) ["entity keys"]=> array(4) { ["id"]=> string(7) "item_id" ["revision"]=> string(11) "revision_id" ["bundle"]=> string(10) "field_name" ["uuid"]=> string(4) "uuid" } ["module"]=> string(16) "field_collection" ["view modes"]=> array(4) { ["full"]=> array(2) { ["label"]=> string(12) "Full content" ["custom settings"]=> bool(false) } ["diff_standard"]=> array(2) { ["label"]=> string(19) "Revision comparison" ["custom settings"]=> bool(false) } ["print"]=> array(2) { ["label"]=> string(5) "Print" ["custom settings"]=> bool(false) } ["token"]=> array(2) { ["label"]=> string(6) "Tokens" ["custom settings"]=> bool(false) } } ["access callback"]=> string(28) "field_collection_item_access" ["deletion callback"]=> string(28) "field_collection_item_delete" ["metadata controller class"]=> string(37) "FieldCollectionItemMetadataController" ["bundles"]=> array(2) { ["field_documents"]=> array(3) { ["label"]=> string(32) "Field collection field_documents" ["admin"]=> array(4) { ["path"]=> string(62) 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"int" ["field_name"]=> string(7) "varchar" ["archived"]=> string(3) "int" ["uuid"]=> string(4) "char" } ["schema_fields_sql"]=> array(2) { ["base table"]=> array(5) { [0]=> string(7) "item_id" [1]=> string(11) "revision_id" [2]=> string(10) "field_name" [3]=> string(8) "archived" [4]=> string(4) "uuid" } ["revision table"]=> array(2) { [0]=> string(11) "revision_id" [1]=> string(7) "item_id" } } ["token type"]=> string(21) "field_collection_item" ["configuration"]=> bool(false) ["uuid"]=> bool(true) } ["idKey":protected]=> string(7) "item_id" ["nameKey":protected]=> string(7) "item_id" ["statusKey":protected]=> string(6) "status" ["defaultLabel":protected]=> bool(false) ["wrapper":protected]=> NULL ["uuid"]=> string(36) "603a281c-af56-434d-9dbf-195e877e9ac4" ["field_title"]=> array(1) { ["und"]=> array(1) { [0]=> array(3) { ["value"]=> string(51) "Momentum Profits and Time-Varying Unsystematic Risk" ["format"]=> NULL ["safe_value"]=> string(51) "Momentum Profits and Time-Varying Unsystematic Risk" } } } ["field_fichier"]=> array(1) { ["und"]=> array(1) { [0]=> array(13) { ["fid"]=> string(5) "11467" ["uid"]=> string(1) "0" ["filename"]=> string(72) "com.univ.collaboratif.utils.LectureFichiergw?ID_FICHIER=1328885972642jpg" ["uri"]=> string(98) "public://publications/pdf/com.univ.collaboratif.utils.LectureFichiergw?ID_FICHIER=1328885972642jpg" ["filemime"]=> string(24) "application/octet-stream" ["filesize"]=> string(7) "1307237" ["status"]=> string(1) "1" ["timestamp"]=> string(10) "1474027779" ["type"]=> string(7) "default" ["uuid"]=> string(36) "2229aa3e-a733-4d07-a538-3761133a11f2" ["rdf_mapping"]=> array(0) { } ["display"]=> string(1) "1" ["description"]=> NULL } } } ["field_type_de_fichier"]=> array(1) { ["und"]=> array(1) { [0]=> array(2) { ["tid"]=> string(2) "33" ["taxonomy_term"]=> object(stdClass)#356 (12) { ["tid"]=> string(2) "33" ["vid"]=> string(1) "8" ["name"]=> string(3) "Pdf" ["description"]=> string(0) "" ["format"]=> string(9) "full_html" 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["format"]=> NULL } } ["#formatter"]=> string(12) "text_default" [0]=> array(1) { ["#markup"]=> string(326) "

Pour plus d'informations, nous vous prions de vous adresser à Joanne Finlay, Direction de la recherche de l'EDHEC [ joanne.finlay@edhec.edu]

Les opinions exprimées sont celles de l'auteur et n'engagent pas la responsabilité de l'EDHEC.

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We also find that, because losers have a higher propensity than winners to disclose bad news, negative return shocks increase their volatility more than they increase that 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. Following Hong et al. (2000), we interpret this as a sign that managers of loser firms are reluctant to disclose bad news, while managers of winner firms are eager to release good news. " ["summary"]=> string(145) "This study assesses whether the widely documented momentum profits can be ascribed to time-varying risk as described by a GJR-GARCH(1,1)-M model." 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We reveal that, consistent with rational pricing in efficient markets momentum profits are a compensation for time-varying unsystematic risks, common to the winner and loser stocks. 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We reveal that, consistent with rational pricing in efficient markets momentum profits are a compensation for time-varying unsystematic risks, common to the winner and loser stocks. 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risks, common to the winner and loser stocks. We also find that, because losers have a higher propensity than winners to disclose bad news, negative return shocks increase their volatility more than they increase that 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. Following Hong et al. (2000), we interpret this as a sign that managers of loser firms are reluctant to disclose bad news, while managers of winner firms are eager to release good news. " ["summary"]=> string(145) "This study assesses whether the widely documented momentum profits can be ascribed to time-varying risk as described by a GJR-GARCH(1,1)-M model." 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