Firm-Specific Attributes and the Cross-Section of Momentum

By Yazann S. Romahi. 2007

342 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/73ad7875387d819ec36043d985421be0f7423e8b

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In Economics and Econometrics

Citations in the corpus

Value and Momentum Everywhere: Value and Momentum Everywhere (2013, background): “…securities, as everyone runs for the exit at the 3 See Gomes, Kogan, and Zhang (2003), Zhang (2005), Li, Livdan, and Zhang (2009), Belo (2010), Li and Zhang (2010), Liu and Zhang (2008), Berk, Green, and Naik (1999), Johnson (2002), Sagi and Seasholes (2007), and Liu, Whited, and Zhang (2009).”
Is momentum really momentum (2012, background): “, Barberis, Shleifer and Vishny, 1998; Hong and Stein, 1999; Hirshleifer and Subrahmanyam, 1999) or rational (e.g., Johnson, 2002; Sagi and Seasholes, 2007), delivers the observed term-structure of momentum information, which exhibits significant information in past performance at horizons of 12 to ”
"Momentum Strategies in Futures Markets and Trend-following Funds" (2013, neutral): “…effect relates the findings to two strands of literature, namely the rational 6 (e.g. Berk et al. 1999, Johnson 2002, Ahn, Conrad and Dittmar 2003, Sagi and Seasholes 2007, Liu and Zhang 2008) and the behavioural7 explanations (e.g. Barberis et al. 1998, Daniel et al. 1998, Hong and Stein 1999)…”
Cross-Sectional Return Dispersion and Time Variation in Value and Momentum Premiums (2010, background): “Next, we feel it is important to control for the recent stock market return to take into account the results in CGH (2004). They find that momentum payoffs are only reliably positive following a positive 3-year stock market return, and they interpret this long horizon return as being indicative of t”
Information Percolation, Momentum and Reversal (2014, positive): “Among the large theoretical literature on momentum, leading rational theories are based on growth-options models (Berk, Green, and Naik 1999; Johnson 2002; Sagi and Seasholes 2007).”
The Determinants of CDS Spreads (2014, background): “Johnson (2002) and Sagi and Seasholes (2007) argue that apparent momentum profits can reflect temporary increases in growth-related risk for winner-minus-loser portfolios.”
Style investing, comovement and return predictability. (2013, neutral): “Examples of the former include Conrad and Kaul (1998), Berk, Green, and Naik (1999), Johnson (2002), and Sagi and Seasholes (2007), in which momentum can arise from (rational) variation in expected returns, endogenously chosen investment expenditures, expected dividend growth rates, and growth…”
Time Series Momentum (2012, background): “Likewise, rational theories of momentum (Berk, Green, and Naik, 1999; Johnson, 2002; Ahn, Conrad, and Dittmar, 2003; Liu and Zhang, 2008; Sagi and Seasholes, 2007) also pertain to a single risky asset.”