Publication Type

Conference Paper

Publication Date

2-2015

Abstract

The momentum life cycle (MLC) hypothesis first proposed by Lee and Swaminathan (2000) applies also to global markets. Early-stage strategies significantly outperform the late-stage and conventional strategies in most countries. Individualism culture is positively associated with late-stage but unrelated to early-stage momentum profitability, suggesting that early- and late-stage momentums are driven by different underlying mechanisms. Consistent with Stein’s (2009) model that arbitrageurs could amplify mispricing, we find that late-stage momentum profits are more pronounced in countries with lower limits to arbitrage. Furthermore, we find that the MLC also applies to exchange traded funds in the United States.

Keywords

Momentum life cycle, International, ETFs, Individualism, Limits to arbitrag, Momentum profits

Discipline

Corporate Finance | Finance and Financial Management

Research Areas

Finance

Publication

Asian Finance Association (AsianFA) 2015 Conference Paper

Identifier

10.2139/ssrn.2565305

Publisher

ACM

City or Country

Hong Kong University of Science and Technology, University of Queensland

Creative Commons License

Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License
This work is licensed under a Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License.

Additional URL

https://dx.doi.org/10.2139/ssrn.2565305

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