Momentum life cycle, revisited

Tsung Yu Chen, Pin Huang Chou, Chia Hsun Hsieh, S. Ghon Rhee

研究成果: 雜誌貢獻期刊論文同行評審

摘要

The momentum life cycle (MLC) hypothesis proposed by Lee and Swaminathan (2000) is spurious because it is largely driven by multiplying two widely documented effects on momentum and turnover. After controlling for these two effects, what remains is a negative return pattern for late-stage momentum, mostly driven by the higher returns of low-turnover losers. Although the higher returns of low-turnover losers disappear either under a risk adjustment or with the inclusion of NASDAQ stocks, they remain significant during periods of optimism, thus supporting the underreaction theory of momentum proposed by Hong and Stein (2007), whereby turnover proxies for the divergence of opinion among investors.

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文章編號106119
期刊Journal of Banking and Finance
127
DOIs
出版狀態已出版 - 6月 2021

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