TY - JOUR

T1 - Modelling momentum winner/loser asymmetry: the sources of winner and loser returns in the ASX200 and S&P500

AU - Inglis, Nicholas

AU - Vanstone, Bruce J

AU - Hahn, Tobias

PY - 2019/4/1

Y1 - 2019/4/1

N2 - There is an established body of work showing that the sources of momentum returns change over time. This paper finds that there is also winner/loser asymmetry – that the sources of the winner and loser components of momentum returns differ from each other at the same point in time. Together, these results raise concerns about the prospect of finding a single cause for momentum profits, as most efforts to date have tried to do. Rather, they indicate that investigation should proceed using time‐varying, nonparametric and ensemble techniques.

AB - There is an established body of work showing that the sources of momentum returns change over time. This paper finds that there is also winner/loser asymmetry – that the sources of the winner and loser components of momentum returns differ from each other at the same point in time. Together, these results raise concerns about the prospect of finding a single cause for momentum profits, as most efforts to date have tried to do. Rather, they indicate that investigation should proceed using time‐varying, nonparametric and ensemble techniques.

U2 - 10.1111/acfi.12452

DO - 10.1111/acfi.12452

M3 - Article

VL - 59

SP - 657

EP - 684

JO - Accounting and Finance

JF - Accounting and Finance

SN - 0810-5391

IS - S1

ER -