Short Term Momentum Profits and Their Source: A Business Indicators’ Approach

Agricultural Economics - CZECH, 59, 2013 (12): 563–577

15 Pages Posted: 20 Dec 2013

See all articles by Abdullah Ejaz

Abdullah Ejaz

University of Brunei Darussalam; Universiti Brunei Darussalam

Petr Polak

University of Brunei Darussalam

Date Written: December 2013

Abstract

The main objective of the paper is to seek the source that can explain the momentum profits because the source of momentum profits has been disputed. The secondary objective of the paper is to affirm the findings of the author about the presence of the short term momentum effect and to reaffirm the notion that CAPM cannot explain the momentum profits supported by a large number of authors. For the primary objective, a set of variables has been chosen, that fall under the category of “Business Indicators”, to explain the momentum profits. It is found that a variable “Starting a Business” could explain the source of the momentum profits whereas other variables may have a negligible or no influence over the momentum profits. It is also reaffirmed that a short term momentum effect has been found in 14 stock markets and the CAPM could not explain the momentum profits. This study is not conclusive due to the limitation of data but it does give a source of the momentum profits and it sheds light on the future research about the sources that can explain momentum profits in a great detail.

Keywords: business indicators, short term momentum effect, “doing business” report, CAPM, momentum profits

Suggested Citation

Ejaz, Abdullah and Ejaz, Abdullah and Polak, Petr, Short Term Momentum Profits and Their Source: A Business Indicators’ Approach (December 2013). Agricultural Economics - CZECH, 59, 2013 (12): 563–577, Available at SSRN: https://ssrn.com/abstract=2369819

Abdullah Ejaz (Contact Author)

University of Brunei Darussalam ( email )

Jalan Tungku Link
Gadong
Bandar Seri Begawan, BE1410
Brunei
+673 2463001 (Phone)

HOME PAGE: http://www.ubd.edu.bn

Universiti Brunei Darussalam ( email )

Jalan Tungku Link
Gadong
Bandar Seri Begawan, BE1410
Brunei
+673 2463001 (Phone)

HOME PAGE: http://www.ubd.edu.bn

Petr Polak

University of Brunei Darussalam ( email )

Jalan Tungku Link
Gadong
Bandar Seri Begawan, BE1410
Brunei

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