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dc.contributor.authorLi, Xiafei*
dc.contributor.authorBrooks, C.*
dc.contributor.authorMiffre, J.*
dc.contributor.authorO'Sullivan, N.*
dc.date.accessioned2009-09-08T14:00:38Z
dc.date.available2009-09-08T14:00:38Z
dc.date.issued2008
dc.identifier.citationLi, X., Brocks, C., Miffre, J. and O'Sullivan, N. (2008). Momentum profits and time-varying unsystematic risk. Journal of Banking and Finance. Vol. 32, No. 4, pp. 541-558.en
dc.identifier.urihttp://hdl.handle.net/10454/3404
dc.descriptionNoen
dc.description.abstractThis study assesses whether the widely documented momentum profits can be ascribed to time-varying risk as described by a GJR-GARCH(1,1)-M model. Consistent with rational pricing in efficient markets, we reveal that momentum profits are a compensation for time-varying unsystematic risks, common to the winner and loser stocks. We also find that, because losers have a higher propensity than winners of disclose bad news, negative return shocks increase their volatility more than it increases that of the winners. The volatility of the losers is also found to respond to news more slowly, but eventually to a greater extent, than that of the winners. Following Hong et al. (2000), we interpret this as a sign that managers of loser firms are reluctant to disclosing bad news, while managers of winner firms are eager to releasing good newsen
dc.language.isoenen
dc.relation.isreferencedbyhttp://dx.doi.org/10.1016/j.jbankfin.2007.03.014en
dc.subjectMomentum profitsen
dc.subjectCommon unsystematic risken
dc.subjectGJR-GARCH(1,1)-Men
dc.titleMomentum profits and time-varying unsystematic risk.en
dc.status.refereedYesen
dc.typeArticleen
dc.type.versionNo full-text available in the repositoryen


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