Files

Abstract

This paper provides further evidence to support behavioral explanation of the momentum profit. We use VIX index as an approximate of market participants’ degree of fear, which is contrary to overconfidence level and explore the relation between momentum return and VIX index. We find strong negative correlation between them. VIX index is still statistically significant even after we control the cumulative market return used in previous study. The results are consistent with the behavioral explanation of momentum return.

Details

PDF

Statistics

from
to
Export
Download Full History