RECHERCHE ET PUBLICATIONS

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.

Auteur(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.

Type : Working paper
Date : le 13/12/2007
Pôle de recherche Finance

A voir également

L’EDHEC confirme son positionnement dans le TOP 4 des Grandes Ecoles en France, selon l’Etudiant 2022
Actualités
- 01-12-2021
4e Grande Ecole française selon le classement 2022 de l’Etudiant, l’EDHEC Business...
BCG & EDHECINFRA : UNE MOBILISATION COMMUNE AU SERVICE DE LA RECHERCHE EN FINANCEMENT D’INFRASTRUCTURE
Actualités
- 30-11-2021
L’EDHEC, par le biais de son centre de recherche EDHECinfra, a conclu un partenariat...
The Future of Buildings Project : quand la chaire FIT (Foresight, Innovation & Transformation) accompagne les nouvelles générations pour imaginer l’avenir du secteur de la construction.
Actualités
- 26-11-2021
Actuellement confronté à des grands défis – réduction des émissions de carbone,...
Donatrice du mois : isabelle Gilibert Bédel, promo 88
Actualités
- 26-11-2021
« Faire un don à l’EDHEC pour financer une bourse EDHEC For All est ma façon de...