Rational Momentum Effects

By Timothy C. Johnson. 2002

455 citations recorded by the source corpus.

Subfields: Accounting, Finance, Strategy and Management

View Paper: https://www.semanticscholar.org/paper/892d1e9f8f6f4dda60b070ddfa26450c67607daa

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Citations in the corpus

Monotonicity in asset returns: New tests with applications to the term structure, the CAPM, and portfolio sorts (2010, background): “with the associated hypotheses on the jth parameter in the above regression: H0 : �jN � �jN 1 � ::: � �j0 , ( 18 )”
Market Dynamics and Momentum Profits (2010, background): “1While some studies suggest that momentum profits can be understood in a rational equilibrium framework (e.g., 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…”
Cognitive Dissonance, Sentiment, and Momentum (2012, background): “Existing evidence also suggests that large institutional investors process a larger information set and make superior trades (Malmendier and Shanthikumar (2007)).”
"Momentum Strategies in Futures Markets and Trend-following Funds" (2013, unknown): “Kat and Palaro (2005) and Bollen and Fisher (2012) examine futures-based hedge fund replication, but their focus is not on trend-following strategies or capacity constraints.”
Stock Return Serial Dependence and Out-of-Sample Portfolio Performance (2014, background): “Some of these explanations are based on time-varying expected returns (Conrad and Kaul 1988), with more recent work showing how to generate this variation in rational models (Berk, Green, and Naik 1999; Johnson 2002).”
Style momentum within the S&P-500 index (2004, background): “Previous theoretical and empirical research by Conrad and Kaul (1998), Johnson (2002), Lewellen (2002), and others contends that rational cross-sectional and time-series variation in risk is a plausible explanation of price momentum.18 On the other hand, Hong et al. (2000) and Lee and Swaminathan…”
Information Percolation, Momentum and Reversal (2014, unknown): “Rumors Our baseline model can jointly generate short-term momentum, consistent with the empirical finding of Jegadeesh and Titman (1993), and long-term reversal, consistent with the over-reaction phenomenon of De Bondt and Thaler (1985).”
Why Does Return Predictability Concentrate in Bad Times (2017, background): “7Other theories of momentum include Berk, Green, and Naik (1999), Holden and Subrahmanyam (2002), Johnson (2002), Sagi and Seasholes (2007), Makarov and Rytchkov (2012), Vayanos and Woolley (2013), Biais, Bossaerts, and Spatt (2010), Cespa and Vives (2012), Albuquerque and Miao (2014), and Andrei…”
Price Momentum and Idiosyncratic Volatility (2008, unknown): “Johnson (2002) argues that past return sorts tend to sort firms by recent growth rates.”
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, unknown): “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…”
Idiosyncratic Risk, Long-Term Reversal, and Momentum (2010, background): “Although it may seem intuitive that idiosyncratic risk 3There are also risk-based explanations for momentum (see Conrad and Kaul (1998), Berk, Green, and Naik (1999), and Johnson (2002)).”