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Momentum in global equity markets in times of troubles: Does the economic state matter?

Authors
Journal
Economics Letters
0165-1765
Publisher
Elsevier
Volume
123
Issue
1
Identifiers
DOI: 10.1016/j.econlet.2014.01.028
Keywords
  • Momentum
  • Global Equity Markets
  • International Stock Indices
  • Business Cycle
Disciplines
  • Economics

Abstract

Abstract This paper investigates the profitability of momentum-based trading strategies pursued during the most recent economic downturns in global equity markets. In contrast to previous studies, it reveals that such strategies generated statistically significant negative returns during the most recent recessions. These “momentum crashes” happen during market reversals following exceptionally large market declines, as occurred in March and April 2009.

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