Momentum profits, market cycles, and rebounds: Evidence from Germany

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Momentum profits, market cycles, and rebounds: Evidence from Germany

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作者：Martin T. Bohl^a ; ¹ ; ^{martin.bohl@wiwi.uni-muenster.de" class="auth_mail" title="E-mail the corresponding author} ; Marc-Gregor Czaja^b ; ^{marc-gregor.czaja@allianz.com" class="auth_mail" title="E-mail the corresponding author} ; Philipp Kaufmann^a ; ^{philipp.kaufmann@wiwi.uni-muenster.de" class="auth_mail" title="E-mail the corresponding author}
关键词：G11 ; G12 ; G14
刊名：The Quarterly Review of Economics and Finance
出版年：2016
出版时间：August 2016
年：2016
卷：61
期：Complete
页码：139-159
全文大小：3092 K

文摘

•: Price and earnings momentum payoffs vary across market states.
•: The long–short price momentum strategy loses almost 9% per month during volatile market rebounds.
•: These momentum crashes are solely due to recovering loser stocks.
•: Losers are prone to heavy rebounds because they exhibit call option-like behavior.
•: Earnings momentum is less affected by market rebounds.

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