Momentum profits and time varying illiquidity effect
dc.contributor.author | Butt, HA | |
dc.contributor.author | Virk, Nader | |
dc.date.accessioned | 2016-11-17T13:00:12Z | |
dc.date.available | 2016-11-17T13:00:12Z | |
dc.date.issued | 2017-02 | |
dc.identifier.issn | 1544-6123 | |
dc.identifier.issn | 1544-6131 | |
dc.identifier.other | C | |
dc.identifier.uri | http://hdl.handle.net/10026.1/6752 | |
dc.description.abstract |
We study the variations in the US momentum returns using shocks to contemporaneous and lagged market illiquidity. We assert that the momentum strategy is hedged against systematic illiquidity risk. The impact of systematic illiquidity risk on momentum profits is shown to be distinctive from the effect of supplying liquidity. Our results show that the contemporaneous effect of systematic illiquidity dominates the opposite prediction of lagged systematic illiquidity and retains its significance even if variables capturing the time varying exposures of momentum returns to market risk are included in the analysis. | |
dc.format.extent | 253-259 | |
dc.language | en | |
dc.language.iso | en | |
dc.publisher | Elsevier BV | |
dc.subject | Momentum strategy | |
dc.subject | Systematic illiquidity risk | |
dc.subject | Supplying liquidity | |
dc.subject | Time varying exposures | |
dc.title | Momentum profits and time varying illiquidity effect | |
dc.type | journal-article | |
plymouth.author-url | https://www.webofscience.com/api/gateway?GWVersion=2&SrcApp=PARTNER_APP&SrcAuth=LinksAMR&KeyUT=WOS:000393720200034&DestLinkType=FullRecord&DestApp=ALL_WOS&UsrCustomerID=11bb513d99f797142bcfeffcc58ea008 | |
plymouth.volume | 20 | |
plymouth.publication-status | Published | |
plymouth.journal | Finance Research Letters | |
dc.identifier.doi | 10.1016/j.frl.2016.10.010 | |
plymouth.organisational-group | /Plymouth | |
plymouth.organisational-group | /Plymouth/Faculty of Arts, Humanities and Business | |
dcterms.dateAccepted | 2016-10-20 | |
dc.rights.embargodate | 2017-10-21 | |
dc.identifier.eissn | 1544-6131 | |
dc.rights.embargoperiod | Not known | |
rioxxterms.versionofrecord | 10.1016/j.frl.2016.10.010 | |
rioxxterms.licenseref.uri | http://www.rioxx.net/licenses/all-rights-reserved | |
rioxxterms.licenseref.startdate | 2017-02 | |
rioxxterms.type | Journal Article/Review |