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Momentum Returns in the Permanent Cash-flow News, Temporary Cash-flow News, and Discount-rate News States
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영구적·일시적 현금흐름 뉴스와 할인율 뉴스에 따른 모멘텀 수익률 분석

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Type
Academic journal
Author
Ming Wu (부경대학교)
Journal
The Korean Data Analysis Society Journal of The Korean Data Analysis Society Journal of The Korean Data Analysis Society 제25권 제2호 KCI Accredited Journals
Published
2023.4
Pages
629 - 638 (10page)
DOI
10.37727/jkdas.2023.25.2.629

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Momentum Returns in the Permanent Cash-flow News, Temporary Cash-flow News, and Discount-rate News States
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In this paper, unexpected market excess returns are decomposed into permanent cash-flow news, temporary cash-flow news, and discount-rate news by using a log-linear SVAR model, and the profitability of momentum strategies is analyzed under these news states. The empirical results are as follow. Frist, Momentum returns exist in the US stock market. Second, momentum profitability exists under both permanent and temporary cash-flow news states. This supports the results of Celiker et al. (2016) that momentum profitability exists in the US stock market under cash flow news states. Third, the momentum effect is strong even under the discount-rate news. Finally, Momentum profitability is stronger when the overall market is in an up market. In other words, when the market is up, investors tend to be overconfident, which creates momentums. This paper can analyze which factors play an important role in determining momentum returns by estimating permanent and temporary cash-flow news and discount-rate news by using the developed news decomposition method.
#모멘텀 수익률 #로그-선형 구조형 벡터자기회귀 모형 #영구적인 현금흐름 뉴스 #일시적인 현금흐름 뉴스 #할인율 뉴스 #momentum returns #log-linear SVAR model #permanent cash-flow news #temporary cash-flow news #discount-rate news.

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