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Modelling momentum winner/loser asymmetry: the sources of winner and loser returns in the ASX200 and S&P500

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  • Nick Inglis
  • Bruce Vanstone
  • Tobias Hahn
Abstract
There is an established body of work showing that the sources of momentum returns change over time. This paper finds that there is also winner/loser asymmetry – that the sources of the winner and loser components of momentum returns differ from each other at the same point in time. Together, these results raise concerns about the prospect of finding a single cause for momentum profits, as most efforts to date have tried to do. Rather, they indicate that investigation should proceed using time‐varying, nonparametric and ensemble techniques.

Suggested Citation

  • Nick Inglis & Bruce Vanstone & Tobias Hahn, 2019. "Modelling momentum winner/loser asymmetry: the sources of winner and loser returns in the ASX200 and S&P500," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 59(S1), pages 657-684, April.
    • Handle: RePEc:bla:acctfi:v:59:y:2019:i:s1:p:657-684
    DOI: 10.1111/acfi.12452
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