This study introduces a new estimation-based bootstrap simulation procedure to test
whether different returns-generating models can explain the profitability of
momentum strategies first documented in Jegadeesh and Titman (1993). We incorporate
simple random walk and multifactor models and allow for autocorrelation, cross-
correlation, conditional heteroscedasticity and predictability through conditioning
information variables. We also evaluate alternative sampling procedures for the
bootstrap simulations. None of the models, however, are able to generate simulated
profits as large as the actual profits. We do find, however, that accounting for
time-varying expected returns with market-wide and macroeconomic instrumental
variables can explain 75 to 80 percent of the profits.
학회소식
공지사항
[2003년 제 2차] Momentum Strategies;Some Bootstrap Tests
작성자 : 관리자
조회수 : 1160
게시일 :
2003-07-12