Momentum, Business Cycle and Time Varying Expected Returns

By Tarun Chordia, L. Shivakumar. 2002

970 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/06490212e42b3ed2d99ffb9d88a6ba437c0bf423

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Citations in the corpus

Predicting stock price movements from past returns: The role of consistency and tax-loss selling (2004, background): “, 1994; Conrad and Kaul, 1989; Lo and MacKinlay, 1988), to rational risk-based explanations (Conrad and Kaul, 1998; Berk et al., 1999; Chordia and Shivakumar, 2002; Bansal et al., 2002), to irrational behavioral stories (DeBondt and Thaler, 1985, 1987; Jegadeesh and Titman, 1993; Daniel et al.”
Accruals Quality, Stock Returns, and Macroeconomic Conditions (2010, neutral): “Chordia and Shivakumar (2002) study the relation between momentum profits”
Momentum Profits, Factor Pricing, and Macroeconomic Risk (2008, neutral): “An incomplete list includes Jegadeesh and Titman (1993); Fama and French (1996); Grundy and Martin (2001); Griffin, Ji, and Martin (2003); and Moskowitz (2003). Consequently, the bulk of the momentum literature has followed Jegadeesh and Titman in interpreting momentum as a result of behavioral unde”
A New Anomaly: The Cross-Sectional Profitability of Technical Analysis (2013, background): “Default Risk Chordia and Shivakumar (2002) provide evidence that momentum profits can be explained by exposure to macroeconomic variables including default spread, defined as the yield spread between BAA and AAA corporate bonds.”
"Momentum Strategies in Futures Markets and Trend-following Funds" (2013, neutral): “Based on that, Chordia and Shivakumar (2002) link time-series momentum to time variation in expected returns that is captured by a set of macroeconomic variables, related to the business cycle.”
Market Dynamics and Momentum Profits (2010, background): “, Conrad and Kaul (1998), Johnson (2002), Chordia and Shivakumar (2002), (2006), and Sagi and Seasholes (2007)), others point to behavioral biases (e.g., Barberis, Shleifer, and Vishny (1998), Daniel, Hirshleifer, and Subrahmanyam (1998), Hong and Stein (1999), and Daniel and Titman (1999), (2006)).”
Predicting stock returns (2006, positive): “This is consistent with momentum timing because Chordia and Shivakumar (2002) find that the strategy of buying winners and selling losers is especially profitable over expansions.”
Momentum and mean reversion across national equity markets (2006, methodology): “15 Chordia and Shivakumar (2002) argue for U.S. data that the momentum returns are related to the business cycle as a potential risk factor.”
Pairs trading in the UK equity market: risk and return (2016, neutral): “Cross-sectional momentum has been shown to be susceptible to periods of persistent negative returns, which occur following periods of persistent negative market returns (Cooper, Gutierrez, and Hameed (2004) and Daniel and Moskowitz (2011)) or economic states (Chordia and Shivakumar (2002)).”
The Cross Section of Analyst Recommendations (2004, neutral): “For example, some authors, e.g., Chordia and Shivakumar (2002), suggest that it may represent compensation for risk, and others such as Grundy and McNichols (2001) and Fama and French (1996) argue that it is a genuine anomaly.”
Style momentum within the S&P-500 index (2004, background): “Chordia and Shivakumar (2002) find that price momentum strategies do not earn profits during recessions. Jensen et al. (1998) find that the size and value premia in U.”
Market States and Momentum (2004, background): “We exclude stocks with a price at the end of the formation period below one dollar to mitigate microstructure effects associated with low-price stocks.”
Empirical cross-sectional asset pricing: a survey (2011, background): “Grinblatt and Moskowitz (1999) explore whether industry effects explain this phenomenon while Chordia and Shivakumar (2002) argue that momentum profits can be explained by business cycles.”
Momentum and Autocorrelation in Stock Returns (2002, background): “Chordia and Shivakumar (2001) argue that momentum can be explained by time variation in expected returns across the business cycle.”