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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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    Available under license: CC BY-NC-ND: Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License

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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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<mark>Journal publication date</mark>11/2017
<mark>Journal</mark>Journal of Financial Markets
Volume36
Number of pages15
Pages (from-to)76-90
Publication StatusPublished
Early online date22/04/17
<mark>Original language</mark>English

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.

Bibliographic note

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