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Cash Flow News, Discount Rate News, And Momentum, Umut Celiker, Nuri Volkan Kayacetin, Raman Kumar, Gokhan Sonaer
Cash Flow News, Discount Rate News, And Momentum, Umut Celiker, Nuri Volkan Kayacetin, Raman Kumar, Gokhan Sonaer
Business Faculty Publications
We examine the effect of aggregate cash flow news and discount rate news on momentum returns. We find that momentum profits are higher following aggregate positive cash flow news, even in down markets or low sentiment periods. This finding expands on the evidence in Cooper et al. (2004) that momentum is significant only when past market returns are non-negative and in Antoniou et al. (2013) that momentum is weaker when sentiment is pessimistic. We find that the higher momentum profits during aggregate positive cash flow news periods are primarily driven by the losers continuing to underperform in subsequent periods. Our …
Asset Pricing With Financial Bubble Risk, Ji Hyung Lee, Peter C. B. Phillips
Asset Pricing With Financial Bubble Risk, Ji Hyung Lee, Peter C. B. Phillips
Research Collection School Of Economics
This paper characterizes systematic risk stemming from the possible occurrence of price bubbles and measures the impact of this additional risk factor on asset prices. Historical stock market behavior and recent empirical experience have led economists and policy makers to acknowledge that price bubbles in financial markets do occur and need to be accounted for in risk analysis. New econometric tools for analyzing mildly explosive behavior (Phillips and Magdalinos, 2007; Phillips et al., 2011) have made it possible to detect the presence of bubbles in data and to date stamp their origination and collapse, providing empirical confirmation of such episodes …