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    Rights statement: This is the author’s version of a work that was accepted for publication in Journal of Financial Markets. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Journal of Financial Markets, 36, 2017 DOI: 10.1016/j.finmar.2017.04.002

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Macroeconomic risk and seasonality in momentum profits

Research output: Contribution to Journal/Magazine › Journal article › peer-review

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Macroeconomic risk and seasonality in momentum profits. / Ji, Xiuqing; Spencer Martin, J.; Yao, Yaqiong.
In: Journal of Financial Markets, Vol. 36, 11.2017, p. 76-90.

Research output: Contribution to Journal/Magazine › Journal article › peer-review

Harvard

Ji, X, Spencer Martin, J & Yao, Y 2017, 'Macroeconomic risk and seasonality in momentum profits', Journal of Financial Markets, vol. 36, pp. 76-90. https://doi.org/10.1016/j.finmar.2017.04.002

APA

Ji, X., Spencer Martin, J., & Yao, Y. (2017). Macroeconomic risk and seasonality in momentum profits. Journal of Financial Markets, 36, 76-90. https://doi.org/10.1016/j.finmar.2017.04.002

Vancouver

Ji X, Spencer Martin J, Yao Y. Macroeconomic risk and seasonality in momentum profits. Journal of Financial Markets. 2017 Nov;36:76-90. Epub 2017 Apr 22. doi: 10.1016/j.finmar.2017.04.002

Author

Ji, Xiuqing ; Spencer Martin, J. ; Yao, Yaqiong. / Macroeconomic risk and seasonality in momentum profits. In: Journal of Financial Markets. 2017 ; Vol. 36. pp. 76-90.

Bibtex

@article{83738fb088014d0aafabe17c0d0e53bc,
title = "Macroeconomic risk and seasonality in momentum profits",
abstract = "We contribute to the growing debate on the relation between macroeconomic risk and stock price momentum. Not only is momentum seasonal, so is its net factor exposure. We show that winners and losers only differ in macroeconomic factor loadings in January, the one month when losers overwhelmingly outperform winners. In the remainder of the year, when momentum does exist, winner and loser factor loadings offset nearly completely. Furthermore, the magnitude of macroeconomic risk premia appears to seasonally vary contra momentum. In contrast, the relatively new profitability factor does a much better job of capturing the described seasonality.",
keywords = "Momentum, Macroeconomic risk, ROE, Seasonality, January effects",
author = "Xiuqing Ji and {Spencer Martin}, J. and Yaqiong Yao",
note = "This is the author{\textquoteright}s version of a work that was accepted for publication in Journal of Financial Markets. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Journal of Financial Markets, 36, 2017 DOI: 10.1016/j.finmar.2017.04.002",
year = "2017",
month = nov,
doi = "10.1016/j.finmar.2017.04.002",
language = "English",
volume = "36",
pages = "76--90",
journal = "Journal of Financial Markets",
issn = "1386-4181",
publisher = "Elsevier",

}

RIS

TY - JOUR

T1 - Macroeconomic risk and seasonality in momentum profits

AU - Ji, Xiuqing

AU - Spencer Martin, J.

AU - Yao, Yaqiong

N1 - This is the author’s version of a work that was accepted for publication in Journal of Financial Markets. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Journal of Financial Markets, 36, 2017 DOI: 10.1016/j.finmar.2017.04.002

PY - 2017/11

Y1 - 2017/11

N2 - We contribute to the growing debate on the relation between macroeconomic risk and stock price momentum. Not only is momentum seasonal, so is its net factor exposure. We show that winners and losers only differ in macroeconomic factor loadings in January, the one month when losers overwhelmingly outperform winners. In the remainder of the year, when momentum does exist, winner and loser factor loadings offset nearly completely. Furthermore, the magnitude of macroeconomic risk premia appears to seasonally vary contra momentum. In contrast, the relatively new profitability factor does a much better job of capturing the described seasonality.

AB - We contribute to the growing debate on the relation between macroeconomic risk and stock price momentum. Not only is momentum seasonal, so is its net factor exposure. We show that winners and losers only differ in macroeconomic factor loadings in January, the one month when losers overwhelmingly outperform winners. In the remainder of the year, when momentum does exist, winner and loser factor loadings offset nearly completely. Furthermore, the magnitude of macroeconomic risk premia appears to seasonally vary contra momentum. In contrast, the relatively new profitability factor does a much better job of capturing the described seasonality.

KW - Momentum

KW - Macroeconomic risk

KW - ROE

KW - Seasonality

KW - January effects

U2 - 10.1016/j.finmar.2017.04.002

DO - 10.1016/j.finmar.2017.04.002

M3 - Journal article

VL - 36

SP - 76

EP - 90

JO - Journal of Financial Markets

JF - Journal of Financial Markets

SN - 1386-4181

ER -