Momentum Investing and Business Cycle Risk: Evidence from Pole to Pole

By John M. Griffin, Xiuqing Ji, J. Martin. 2003

982 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/d53354ee88e8c4e355ab1f8adbf2f10d3c4ef511

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Citations in the corpus

Size, value, and momentum in international stock returns (2012, neutral): “…average returns of value stocks relative to growth stocks) and momentum are also observed in international returns (Chan, Hamao, and Lakonishok, 1991; Fama and French, 1998; Rouwenhorst, 1998; Griffin, Ji, and Martin, 2003; Asness, Moskowitz, and Pedersen, 2009; Chui, Titman, and Wei, 2010).”
Share Issuance and Cross-Sectional Returns: International Evidence (2009, positive): “We report these results in Panels C and D of Table 4. Controlling for these effects is important since prior studies have shown that they exist in international markets (see Fama and French, 1998; Rouwenhorst, 1998, 1999; Griffin, Ji, and Martin, 2003 ).”
Cross-Sectional Return Dispersion and Time Variation in Value and Momentum Premiums (2010, result): “…and Kaul (1998), Cooper, Gutierrez, and Hameed (CGH) (2004), Fama and French (1993), (1996), (1998), (2008), Gomes, Kogan, and Zhang (GKZ) (2003), Griffin, Ji, and Martin (2003), Grundy and Martin (2001), Gulen, Xing, and Zhang (2008), Hahn and Lee (2006), Jegadeesh and Titman (1993), (2002),…”
Do Market Efficiency Measures Yield Correct Inferences? A Comparison of Developed and Emerging Markets (2010, background): “6 While the literature has not reached a complete consensus on momentum, many papers provide no support for a risk-based explanation (Grundy and Martin 2001; Jegadeesh and Titman 2001; Griffin, Ji, and Martin 2003; and Cooper, Gutierrez, and Hameed 2004).”
International momentum strategies: a stochastic dominance approach (2005, background): “Rouwenhorst (1997) finds that momentum strategies are profitable for stocks in 12 European markets while Griffin et al. (2003) document significant momentum profits for a dataset of 40 countries.”
Momentum strategies based on reward-risk stock selection criteria (2007, background): “…reward-risk stock selection criteria, expected tail loss, stable Paretian distribution, risk-adjusted performance 3 A number of studies document the profitability of momentum strategies across different markets and time periods (Jegadeesh and Titman, 1993, 2001, Rouwenhorst 1998, Griffin et…”
The Role of Shorting, Firm Size, and Time on Market Anomalies (2013, background): “…time periods, and other asset classes (Chan, Hamao, and Lakonishok, 1991; Hawawini and Keim, 1995; Fama and French, 1998, 2010; Rouwenhorst, 1998; Griffin, Ji, and Martin, 2003; Asness, Moskowitz, and Pedersen, 2011) and have motivated the use of empirical asset pricing models that incorporate…”
The Cross-Section of Expected Stock Returns: What Have We Learnt from the Past Twenty-Five Years of Research? (2010, neutral): “Griffin et al. (2003), however, do not find support for the Chordia and Shivakumar (2002) findings in the context of international markets, and find pervasive momentum across many countries.”
Currency Momentum Strategies (2012, positive): “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 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…”
Momentum Profits, Factor Pricing, and Macroeconomic Risk (2008, positive): “3.1 Estimating MP risk premiums Following Chen, Roll, and Ross (1986) and Griffin, Ji, and Martin (2003) , we estimate the risk premiums by using the two-stage Fama and MacBeth (1973) cross-sectional regressions on portfolios that display wide spreads in average returns.”
The Illiquidity Premium: International Evidence (2015, neutral): “Also, the coefficient of book-to-market ratio is positive and significant, and there is evidence of a momentum effect, indicated by the positive and significant coefficients of the past 3-month and past 9-month stock returns (see Jegadeesh and Titman, 1993; Griffin, Ji, and Spencer, 2003).”