Asset growth, style investing, and momentum

Pin Huang Chou, Kuan Cheng Ko, Nien Tzu Yang

研究成果: 雜誌貢獻期刊論文同行評審

5 引文 斯高帕斯(Scopus)

摘要

We establish a significant and robust connection between asset growth (AG) and style investing by showing that past style returns constructed based on AG and size jointly predict future stock returns significantly. Motivated by this notion, we propose a style momentum strategy based on AG and size and find that it dominates price momentum and size-BM style momentum in generating momentum profits. We examine two explanations for this predictability, including risk exposure to common risk factors and the limited-attention theory. Empirical evidence shows that the AG-size style momentum profit is induced because investors neglect the AG-size style performance, consistent with the limited-attention explanation, but not risk exposure to the investment factor. Further, we show that the profit of the AG-size style momentum is robust to different time periods partitioned by several time-series predictors.

原文???core.languages.en_GB???
頁(從 - 到)108-124
頁數17
期刊Journal of Banking and Finance
98
DOIs
出版狀態已出版 - 1月 2019

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