Galariotis, Emilios C., Holmes, Phil, Kallinterakis, Vasileios and Ma, Xiaodong S. (2014) Market states, expectations, sentiment and momentum : how naive are investors? International Review of Financial Analysis, Volume 32 . pp. 1-12. doi:10.1016/j.irfa.2013.12.004 ISSN 1057-5219.

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Abstract

Following Cooper et al. (CGH) 2004 we test whether market states are relevant for predicting UK momentum profits. However, rather than simply categorising up/down markets based on actual prices as CGH, we suggest that investors may view expectations and/or sentiment as important. Contrary to the findings for the US, we find that momentum returns are not related to CGH-defined market states. Similar findings hold for an expectations-based split. In contrast, for the whole sample period, construction and retail sentiment indicators explain differences in momentum profits. However, robustness tests suggest that their explanatory power is driven by the post-subprime crisis period.

Item Type:	Journal Article
Divisions:	Faculty of Social Sciences > Warwick Business School
Journal or Publication Title:	International Review of Financial Analysis
Publisher:	Elsevier BV
ISSN:	1057-5219
Official Date:	March 2014
Dates:	Date Event March 2014 Published 21 December 2013 Available 12 December 2013 Accepted 14 August 2013 Submitted
Volume:	Volume 32
Page Range:	pp. 1-12
DOI:	10.1016/j.irfa.2013.12.004
Status:	Peer Reviewed
Publication Status:	Published
Access rights to Published version:	Restricted or Subscription Access

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