Modelling Momentum Winner/Loser Asymmetry: The Sources of Winner and Loser Returns in the Asx200 and S&P500

28 Pages Posted: 10 Apr 2019

See all articles by Nick Inglis

Nick Inglis

Bond University

Bruce Vanstone

Bond University - Bond Business School

Tobias Hahn

Bond University

Date Written: April 2019

Abstract

There is an established body of work showing that the sources of momentum returns change over time. This paper finds that there is also winner/loser asymmetry – that the sources of the winner and loser components of momentum returns differ from each other at the same point in time. Together, these results raise concerns about the prospect of finding a single cause for momentum profits, as most efforts to date have tried to do. Rather, they indicate that investigation should proceed using time‐varying, nonparametric and ensemble techniques.

Keywords: Anomalies, Momentum, Market efficiency, Winner/loser asymmetry, Winners minus losers anomalies, Semivariance

Suggested Citation

Inglis, Nick and Vanstone, Bruce and Hahn, Tobias, Modelling Momentum Winner/Loser Asymmetry: The Sources of Winner and Loser Returns in the Asx200 and S&P500 (April 2019). Accounting & Finance, Vol. 59, pp. 657-684, 2019, Available at SSRN: https://ssrn.com/abstract=3369155 or http://dx.doi.org/10.1111/acfi.12452

Nick Inglis (Contact Author)

Bond University ( email )

Gold Coast, QLD 4229
Australia

Bruce Vanstone

Bond University - Bond Business School

Gold Coast
Australia

Tobias Hahn

Bond University ( email )

Gold Coast, QLD 4229
Australia

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