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Cited by 992

The DOI matches its Crossref record; 40 of the 40 references it cites were found in a registry or an index.

Market States and Momentum

Open access
Cooper, Michael J., Gutierrez, Roberto C., Hameed, Allaudeen·2004·The Journal of Finance
DOI 10.1111/j.1540-6261.2004.00665.x
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Abstract

We test overreaction theories of short‐run momentum and long‐run reversal in the cross section of stock returns. Momentum profits depend on the state of the market, as predicted. From 1929 to 1995, the mean monthly momentum profit following positive market returns is 0.93%, whereas the mean profit following negative market returns is −0.37%. The up‐market momentum reverses in the long‐run. Our results are robust to the conditioning information in macroeconomic factors. Moreover, we find that macroeconomic factors are unable to explain momentum profits after simple methodological adjustments to take account of microstructure concerns.

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Crossref · 10.1111/j.1540-6261.2004.00665.x

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Metadata

Authors
Cooper, M. J., Gutierrez, R. C., & Hameed, A.
Venue
The Journal of Finance
Publisher
Wiley
Published
2004-06
Volume
59
Issue
3
Pages
1345-1365
ISSN
  • 0022-1082 (ISSN-L)
  • 1540-6261
DOI
10.1111/j.1540-6261.2004.00665.x
OpenAlex
W3125261530
Cited by
992
References
40
FWCI
30.18
Type
journal article
Language
en
Open access
bronze

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CoChat. (2026). Citation check: Market States and Momentum. https://app.cochat.ai/papers/10.1111/j.1540-6261.2004.00665.x
The paper
Cooper, M. J., Gutierrez, R. C., & Hameed, A. (2004). Market States and Momentum. The Journal of Finance. https://doi.org/10.1111/j.1540-6261.2004.00665.x

Data sources

Bibliographic data: Semantic Scholar, OpenAlex, Crossref.

Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).

Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.