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• W2014540987 abstract "Abstract Recent literature relates growth option theory to various return regularities. Sagi and Seasholes (2007) (S&S) develop a model that explains momentum profitability using growth option theory. We test the model’s predictions in the Australian market by examining three momentum strategies. Two of these strategies examine the profitability of momentum strategies conditioned on stocks characteristics, whereas the third conditions on previous market returns. Our results are largely supportive of the S&S model. As predicted by S&S, the two strategies that use firm‐specific characteristics yield a higher profit than a simple momentum strategy. The third strategy that conditions on the previous market return also leads to differences in momentum profitability between bull and bear markets, but these differences are small and largely insignificant." @default.
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• W2014540987 date "2011-02-09" @default.
• W2014540987 modified "2023-10-17" @default.
• W2014540987 title "Testing the growth option theory: the profitability of enhanced momentum strategies in Australia" @default.
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• W2014540987 doi "https://doi.org/10.1111/j.1467-629x.2011.00401.x" @default.
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