Momentum life cycle around the world

Momentum life cycle around the world

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 unrel...

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Bibliographic Details
Main Authors: LI, Frank Weikai, WEI, K. C. John
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2015
Subjects:
Momentum life cycle
International
ETFs
Individualism
Limits to arbitrag
Momentum profits
Corporate Finance
Finance and Financial Management
Online Access:https://ink.library.smu.edu.sg/lkcsb_research/5297
https://ink.library.smu.edu.sg/context/lkcsb_research/article/6296/viewcontent/SSRN_id2565305.pdf
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Institution: Singapore Management University
Language: English
Description
Summary: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.

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