Persistency of the momentum effect

Title	Persistency of the momentum effect
Creator	陳鴻毅 Chen, Hong-Yi Chou, Pin-Huang Hsieh, Chia-Hsun
Contributor	財管系
Date	2018-11
Date Issued	22-Sep-2017 14:49:00 (UTC+8)
Summary	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.
Relation	European Financial Management, Vol.24, No.5, pp.856-892
Type	article
DOI	http://dx.doi.org/10.1111/eufm.12140

dc.contributor	財管系	zh_TW
dc.creator (作者)	陳鴻毅	zh_TW
dc.creator (作者)	Chen, Hong-Yi	en_US
dc.creator (作者)	Chou, Pin-Huang	en_US
dc.creator (作者)	Hsieh, Chia-Hsun	en_US
dc.date (日期)	2018-11	-
dc.date.accessioned	22-Sep-2017 14:49:00 (UTC+8)	-
dc.date.available	22-Sep-2017 14:49:00 (UTC+8)	-
dc.date.issued (上傳時間)	22-Sep-2017 14:49:00 (UTC+8)	-
dc.identifier.uri (URI)	http://nccur.lib.nccu.edu.tw/handle/140.119/113114	-
dc.description.abstract (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.	en_US
dc.format.extent	902196 bytes	-
dc.format.mimetype	application/pdf	-
dc.relation (關聯)	European Financial Management, Vol.24, No.5, pp.856-892	en_US
dc.title (題名)	Persistency of the momentum effect	en_US
dc.type (資料類型)	article	-
dc.identifier.doi (DOI)	10.1111/eufm.12140	-
dc.doi.uri (DOI)	http://dx.doi.org/10.1111/eufm.12140	-