Market States and Momentum

By Michael J. Cooper, Roberto C. Gutierrez, Allaudeen Hameed. 2004

1,000 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/85b2db4ae48f1adf668080906ea1599ab7069c9a

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Citations in the corpus

Temperature shocks and the cost of equity capital: Implications for climate change perceptions (2017, methodology): “To properly evaluate the significance of the difference in impact in the two subsample periods we use the approach of Cooper, Gutierrez, and Hameed (2004) which provides appropriate standard errors.”
When does investor sentiment predict stock returns (2012, neutral): “Recent research has advocated that the size and value premiums vary with the state of economic regime; see for example, Perez-Quiros and Timmermann (2000), Cooper, Gutierrez, and Hameed (2004), and Gulen, Xing, and Zhang (2008).”
Macroeconomic risks and characteristic-based factor models (2010, background): “, Doidge et al., 2006; Vassalou, 2000; Chen et al., 1986), their roles in explaining SMB, HML and WML have not been studied so far. Finally, we add the market return as a pricing factor in our MF model. In an ICAPM world, this factor rewards investors for bearing risks unrelated to the macroeconomic”
Who is the more overconfident trader? Individual vs. institutional investors (2011, background): “Cooper, Gutierrez, and Hameed (2004) argue that the behavioral theories of Daniel et al.”
Price Momentum and Idiosyncratic Volatility (2008, positive): “Consistent with Cooper, Gutierrez and Hameed (2004) , we find strong evidence that momentum profits are positively related to lagged three-year market returns.”
Media Makes Momentum (2014, background): “Byun, Lim, and Yun (2013), Cooper, Gutierrez, and Hameed (2004), Da, Engelberg, and Gao (2011), and Hou, Peng, and Xiong (2009) all provide empirical support for the line of reasoning behind Daniel, Hirshleifer, and Subrahmanyam (1998).”
Momentum and mean reversion across national equity markets (2006, background): “However, Griffin, Ji, and Martin (2003) find for international data that there is no systematic link across countries between momentum returns and the business cycle and Cooper, Gutierrez, and Hameed (2004) show that the Chordia and Shivakumar findings are not robust to controls for microstructure”
Currency Momentum Strategies (2012, neutral): “This finding squares well with earlier results for U.S. equity momentum, which is hard to explain by relying on its covariance with macro risk factors (e.g. Griffin and Martin, 2003; Cooper, Gutierrez, and Hameed, 2004).”
Momentum has its moments (2015, background): “Cooper, Gutierrez, and Hameed (2004) show that momentum’s expected returns depend on the state of the market.”
Cognitive Dissonance, Sentiment, and Momentum (2012, methodology): “This approach, which is similar to that of Cooper et al. (2004), helps preserve the full time series of returns and allows us to estimate t-statistics that are robust to autocorrelation and heteroskedasticity using Newey and West (1987) standard errors. Later in the paper, we also calculate the long”
A New Anomaly: The Cross-Sectional Profitability of Technical Analysis (2013, background): “, Schwager (1993), Covel (2005), and Lo and Hasanhodzic (2009)), and it is one of the major information variables used for modern quantitative portfolio management (see, e.”
Style investing, comovement and return predictability. (2013, positive): “To determine if this influences our results, we follow Cooper, Gutierrez, and Hameed (2004) and define up (down) markets based on market returns over the prior 24 or 36 months and then replicate our results.”