Persistency of the momentum effect

Hong Yi Chen, Pin Huang Chou, Chia Hsun Hsieh

研究成果: 雜誌貢獻期刊論文同行評審

6 引文 斯高帕斯(Scopus)

摘要

The intermediate-term momentum persistency is not universal among all stocks. More than 40% of winners and losers immediately fall out of their respective groups in the month following formation, resulting in a monthly loss of more than 17% for a momentum strategy constructed on such stocks. By contrast, persistent winners and losers, defined as those staying in their groups for at least one more month, exhibit much stronger momentum persistency. Further analysis indicates that, consistent with the delayed reaction hypothesis for price momentum, the persistency is stronger for stocks with greater information asymmetry and more extensively heterogeneous investor beliefs.

原文???core.languages.en_GB???
頁(從 - 到)856-892
頁數37
期刊European Financial Management
24
發行號5
DOIs
出版狀態已出版 - 11月 2018

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