Stock Price Momentum Modeling: A Grounded Theory Approach
Subject Areas : Financial and Economic ModellingMehdi Elhaei Sahar 1 , Rezvan Hejazi 2 , Allah karam Salehi 3 , Hossein Moltafet 4
1 - Department of Accounting, Ahvaz Branch, Islamic Azad University, Ahvaz, Iran
2 - Department of Accounting, Ahvaz Branch, Islamic Azad University, Ahvaz, Iran|Department of Accounting, Khatam University, Tehran, Iran
3 - Department of Accounting, Ahvaz Branch, Islamic Azad University, Ahvaz, Iran|Department of Accounting, Masjed-Soleiman Branch Islamic Azad University, Masjed-Soleiman, Iran
4 - Department of Accounting, Ahvaz Branch, Islamic Azad University, Ahvaz, Iran|Social Science Department, Faculty of Economics and Social Sciences, Shahid Chamran University of Ahvaz, Ahvaz, Iran
Keywords:
Abstract :
[1] Antoniou, A., Lam, H. Y., Paudyal, K., Profitability of momentum strategies in international markets: The role of business cycle variables and behavioural biases. Journal of Banking & Finance, 2007, 31(3), P. 955-972. Doi:10.1016/j.jbankfin.2006.08.001.
[2] Antoniou, C., Doukas, J. A., & Subrahmanyam, A., Cognitive dissonance, sentiment, and momentum. Journal of Financial and Quantitative Analysis, 2003, 48(1), 245-275. doi: 10.1017/S0022109012000592.
[3] Asem, Ebenezer. Dividends and price momentum. Journal of Banking & Finance, 2009, 33, 486–494. Doi:10.1016/j.jbankfin.2008.09.004.
[4] Avramov, Doron and Hore. Satadru, Momentum, Information Uncertainty, and Leverage -an Explanation Based on Recursive Preferences, 2008, Working paper.
[5] Barberis N, Shleifer A, Vishny R., A model of investor sentiment. J. Financ. Econ, 1998, 49:307–343. doidoi.org/10.1016/S0304-405X(98)00027-0.
[6] Bettman, Jenni L., Sault, Stephen J. and Reibnitz., Anna H. von., The impact of liquidity and transaction costs on the 52-week high momentum strategy in Australia. Australian Journal of Management, 2010, 35(3) 227–244. Doi: 10.1177/0312896210385282.
[7] Blitz, D., Huij, J., & Martens, M., Residual momentum. Journal of Empirical Finance, 2011,18(3), 506-521.doi.org/10.2139/ssrn.2319861.
[8] Boni, L., & Womack, K., Analysts, Industries, and Price Momentum. Journal of Financial and Quantitative Analysis, 2006, 41(1), 85-109. Doi: 10.2139/ssrn.387220.
[9] Brown, N. C., Wei, K. D., & Wermers, R., Analyst recommendations, mutual fund herding, and overreaction in stock prices. Management Science, 2013, 60(1), 1-20.doi.org/10.1287/mnsc.2013.1751.
[10] Chan, L.K.C., Jegadeesh, N., Lakonishok, J., Momentum strategies. The Journal of Finance, 1996, 51, 1681–1713. Doi. 10.3386/w5375.
[11] Chan, W.S., Stock price reaction to news and no-news: Drift and reversal after headlines. Journal of Financial Economics, 2003, 70, 223-260. doi.org/10.1016/S0304-405X (03)00146-6.
[12] Chong, T. T. L., & Ip, H. T. S., Do momentum-based strategies work in emerging currency markets? Pacific-Basin Finance Journal, 2009, 17(4), 479-493.doi.org/10.1016/j.intfin.2012.02.002.
[13] Chordia, T., and L. Shivakumar., Momentum, Business Cycle and Time-Varying Expected Returns. Journal of Finance, 2002, 57, 985–1019. doi.org/10.1111/1540-6261.00449.
[14] Chui, A. C., Titman, S., & Wei, K. J., Intra-industry momentum: the case of REITs. Journal of Financial Markets,2003, 6(3), 363-387.doi.org/10.1016/S1386-4181 (03)00002-8.
[15] Corbin, J.; Strauss, A., Basics of Qualitative Research: Techniques and Procedures for Developing Grounded Theory, 1998, London: Sage Publications.
[16] Cooper, M. J., R. Gutierrez Jr., and A. Hameed, Market States and Momentum. Journal of Finance, 2004, 59, 1345–1365.doi.org/10.1111/j.1540-6261.2004.00665.x.
[17] Daniel, K., D. Hirshleifer, and A. Subrahmanyam, Investors, Psychology and Security Market Under- and Overreactions. Journal of Finance, 1998, 53, 1839–1885.doi.org/10.1111/0022-1082.00077.
[18] Demir I, Muthuswamy J and Walter T., Momentum returns in Australian equities: the influences of size, risk, and liquidity and return computation. Pacific-Basin Finance Journal, 2004, 12: 143–158. doi.org/10.1016/j.pacfin.2003.07.002.
[19] Demirer, R., Lien, D., & Zhang, H. (2015). Industry herding and momentum strategies. Pacific-Basin Finance Journal, 32, 95-110. doi.org/10.1016/j.pacfin.2015.02.010.
[20] Edwards W., Conservatism in human information processing. In Formal Representation of Human Judgement, 1968, New York: Wiley.
[21] Fama, E. F., & French, K. R., Common risk factors in the returns on stocks and bonds. Journal of financial economics, 1993, 33(1), 3-56.doi.org/10.1016/0304-405X (93)90023-5.
[22] Fama, E. F., & French, K. R., Multifactor explanations of asset pricing anomalies. The journal of finance, 1996, 51(1), 55-84.doi.org/10.1111/j.1540-6261.1996.tb05202.x.
[23] Fuertes, A. M., Miffre, J., & Tan, W. H., Momentum profits, nonnormality risks and the business cycle. Applied Financial Economics, 2009, 19(12), 935-953.doi.org/10.1080/09603100802167304.
[24] Fuller, K., Goldstein, M., Do dividends matter more in declining markets? 2006, Working paper, University of Georgia.
[25] Gebhardt, W. R., Hvidkjaer, S., & Swaminathan, B., Stock and bond market interaction: Does momentum spill over?. Journal of Financial Economics, 2005, 75(3), 651-690. doi.org/10.1016/j.jfineco.2004.03.005.
[26] George, T. J., & Hwang, C. Y., The 52‐week high and momentum investing. The Journal of Finance, 2004, 59(5), 2145-2176.doi.org/10.1111/j.1540-6261.2004.00695.x.
[27] Grundy BD, Martin SJ., Understanding the nature of risks and the sources of rewards to momentum investing. Rev. Financ. Stud, 2001, 14:29–78.doi.org/10.1093/rfs/14.1.29.
[28] Goebel, P. R., Harrison, D. M., Mercer, J. M., & Whitby, R. J., REIT momentum and characteristic-related REIT returns. The Journal of Real Estate Finance and Economics, 2013, 47(3), 564-581.
[29] Gorton, G. B., F. Hayashi, and G. K. Rouwenhorst., the Fundamentals of Commodity Futures Returns. Review of Finance, 2013, 17, 35–105. Doi. 10.3386/w13249.
[30] Hao, Y., Chu, H. H., Ko, K. C., & Lin, L., Momentum strategies and investor sentiment in the REIT market. International Review of Finance, 2016, 16(1), 41-71. doi.org/10.1111/irfi.12060.
[31] Hillert, A., Jacobs, H., & Müller, S., Media makes momentum. The Review of Financial Studies, 2014, 27(12), 3467-3501.doi.org/10.1093/rfs/hhu061.
[32] Hong, H., & Stein, J. C., A unified theory of underreaction, momentum trading, and overreaction in asset markets. The Journal of finance, 1999, 54(6), 2143-2184. doi.org/10.1111/0022-1082.00184.
[33] Hung, S., and J. Glascock., Momentum Profitability and Market Trend: Evidence from REITs. Journal of Real Estate Finance and Economics, 2008, 37, 51–69. Doi. 10.1007/s11146-007-9056-4.
[34] Hur, J., & Singh, V., Reexamining momentum profits: Underreaction or overreaction to firm-specific information? Review of Quantitative Finance and Accounting, 2016, 46(2), 261-289. Doi.10.1007/s11156-014-0469-x.
[35] Hur, J., Pritamani, M., & Sharma, V., Momentum and the disposition effect: the role of individual investors. Financial Management, 2010, 39(3), 1155-1176. Doi. 10.2307/40963538.
[36] Izadikhah, M., Saen, R.F., Ahmadi, K., How to assess sustainability of suppliers in the presence of dual-role factor and volume discounts? A data envelopment analysis approach, Asia-Pacific Journal of Operational Research,2017, 34 (03), 1740016. Doi: 10.1142/S0217595917400164
[37] Izadikhah, K., Using goal programming method to solve DEA problems with value judgments, Yugoslav Journal of Operations Research,2016, 24 (2), P. 267 – 282. Doi: 10.2298/YJOR121221015I
[38] Jegadeesh, N., and S. Titman., Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency. Journal of Finance, 1993, 48, 65–91.Doi. 10.1111/j.1540-6261.1993.tb04702.x.
[39] Jegadeesh N, Titman S., Profitability of momentum strategies: an evaluation of alternative explanations. Journal of Finance, 2001, 56:699–720. doi.org/10.1111/0022-1082.00342.
[40] Jegadeesh, N., and S. Titman., Momentum. Annual Review of Financial Economics, 2011, 3, 493–509.doi.org/10.1146/annurev-financial. Doi.102710-144850.
[41] Jostova, G., N. Statnislava, P. Alexander, and C. W. Stahel., Momentum in Corporate Bond Returns. Review of Financial Studies, 2013, 26, 1649–1693.doi.org/10.1093/rfs/hht022.
[42] Kahneman, D., and A. Tversky., Prospect Theory: An Analysis of Decision under Risk. Econometrica. Journal of the Econometric Society, 1979, 47, 263–292.doi.org/10.1142/9789814417358_0006.
[43] Kahneman, D., Judgment under uncertainty: Heuristics and biases, 1982.
[44] Khoshroo, A., Izadikhah, M., Emrouznejad, A., Improving energy efficiency considering reduction of CO2 emission of turnip production: A novel data envelopment analysis model with undesirable output approach, Journal of cleaner production,2018, 187 (20), P. 605-615. Doi: 10.1016/j.jclepro.2018.03.232
[45] Kim, D., Roh, T.-Y., Min, B.-K., & Byun, S.-J., Time-varying expected momentum profits. Journal of Banking & Finance, 2014, 49, 191-215.doi.org/10.1016/j.jbankfin.2014.09.004.
[46] Lee, C., & Swaminathan, B., Price momentum and trading volume. the Journal of Finance, 2000, 55(5), 2017-2069. doi.org/10.1111/0022-1082.00280.
[47] Lewellen, J., Momentum and autocorrelation in stock returns. The Review of Financial Studies, 2002, 15(2), 533-564. doi.org/10.1093/rfs/15.2.533.
[48] Liu, L. X., & Zhang, L., Momentum profits, factor pricing, and macroeconomic risk. The Review of Financial Studies, 2008, 21(6), 2417-2448. Doi. 10.3386/w11480.
[49] Mengoli, S., On the source of contrarian and momentum strategies in the Italian equity market. International Review of Financial Analysis, 2004, 13(3), 301-331.doi.org/10.1016/j.irfa.2004.02.012.
[50] Menkhoff, L., L. Sarno, M. Schmeling, and A. Schrimpf., Currency Momentum Strategies. Journal of Financial Economics, 2012, 106, 660–684.doi.org/10.2139/ssrn.1809776.
[51] Miffre, J., and G. Rallis., Momentum Strategies in Commodity Futures Markets. Journal of Banking and Finance, 2007, 31, 1863–1886.doi.org/10.1016/j.jbankfin.2006.12.005.
[52] Moskowitz, T. J., & Grinblatt, M., Do industries explain momentum? The Journal of Finance, 1999, 54(4), 1249-1290. doi.org/10.1111/0022-1082.00146.
[53] Odean, T., Are Investors Reluctant to Realize Their Losses? Journal of Finance, 1998, 53, 1775-1798.doi.org/10.1111/0022-1082.00072.
[54] Okunev, J., and D. White., Do Momentum-Based Strategies Still Work in Foreign Currency Markets? Journal of Financial and Quantitative Analysis, 2003, 38, 425–447. Doi. 10.2139/ssrn.264574.
[55] Parhizgari, A. M., and D. Nguyen., ADRs under Momentum and Contrarian Strategies. Global Finance Journal, 2008, 19, 102–122.doi.org/10.1016/j.gfj.2007.10.002.
[56] Sarwar, S. M., Lin, S. X., & Muradoǧlu, Y. G., Impact of Credit Risk and Business Cycles on Momentum Returns. In Handbook of Recent Advances in Commodity and Financial Modeling, 2018, (pp. 17-39). Springer, Cham.
[57] Stambaugh, R. F., J. Yu, and Y. Yuan., the Short of It: Investor Sentiment and Anomalies. Journal of Financial Economics, 2012, 104, 288–302.doi.org/10.1016/j.jfineco.2011.12.001.
[58] Strobl, G., Information asymmetry, price momentum, and the disposition effect. 2003, working paper. Doi.10.2139/ssrn.474221.
[59] Thaler, R. H., & Shefrin, H. M., An economic theory of self-control. Journal of political Economy, 1981, 89(2), 392-406.doi.org/10.1086/260971.
[60] Turner, Scott F., Mitchell, Will and Bettis. Richard A., Strategic Momentum: How Experience Shapes Temporal Consistency of Ongoing Innovation. Journal of Management, 2013, Vol 39, Issue 7, pp. 1855 -1890. doi.org/10.1177/0149206312458704.
[61] Vassalou, Maria and Apedjinou., Kodjo, Corporate Innovation, Price Momentum, and Equity Returns, 2004, Working paper. Doi.10.2139/ssrn.663361.
[62] Wu, X., A conditional multifactor model of return momentum. Journal of Banking and Finance, 2002, 26,1675–1696. Doi.10.1016/S0378-4266(01)00179-0.
[63] Zhang, X. Frank., Information uncertainty and stock returns. Journal of Finance, 2006, 61(1), 105-136.doi.org/10.1111/j.1540-6261.2006.00831.x