Skip to main content
Article thumbnail
Location of Repository

Momentum profits and time-varying unsystematic risk.

By Xiafei Li, C. Brooks, J. Miffre and N. O'Sullivan


NoThis 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 new

Topics: Momentum profits, Common unsystematic risk, GJR-GARCH(1,1)-M
Year: 2008
DOI identifier: 10.1016/j.jbankfin.2007.03.014
OAI identifier:
Provided by: Bradford Scholars
Download PDF:
Sorry, we are unable to provide the full text but you may find it at the following location(s):
  • (external link)
  • (external link)
  • Suggested articles

    To submit an update or takedown request for this paper, please submit an Update/Correction/Removal Request.