Taking intraday first-half-hour returns as predictor, we find significant intraday momentum and a reversal effect in the Chinese stock market. This momentum and reversal effect is robust even when including previous day returns, overnight returns, and day-of-week effect. We confirm that noise ...
IV. The Profitability of the Combined Strategies If equity prices also display long-term mean reversion, then the mean reversal effect can interfere with short-term momentum. In this case, estimation of momentum without controlling for mean reversion will be distorted, rendering the pure momentum ...
摘要: This paper studies the momentum and reversal strategies in China's stock market under "bull" market and "bear" market.The results show that the abnormal returns are different according to market states.And the time-varying CAPM and three-factors CAPM can't explain these abnormal returns....
momentum and remains positively significant when adjusting for the momentum or reversal strategies. Factor momentum, which is the sum of the autocorrelations in the factors, represents the momentum anomaly in the Chinese stock market. Besides, we investigate whether factor momentum crashes with market ...
To explain medium-term momentum and long-term reversal, we use the difference between the optional model and the CAPM model to construct a winner-loser portfolio. According to the CAPM model’s zero explanatory ability with respect to stock market anomal
自从Jegadeesh和Titman首先在1993年Journal of Finance上发表了动量因子(Momentum Factor)的研究成果之后(Jegadeeshand Titman,Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency, 1993,简而言之,动量因子就是采取逢高买进,逢低卖出的策略所取得的回报),由于它显著的超额回报率(mark...
6.Study on the Causes and Performance of Momentum Effect and Reversal Effect of a Shares in Shanghai Stock Market动量效应和反转效应的形成机制及其在沪市A股市场的表现研究 7.Effect of management achievement of listed corporations on momentum effect;上市公司经营业绩在动量效应形成中的作用 ...
The averages of the decile transparencies are between 4.5 and 6.5, not only for the top 10% of winners but also for the bottom 10% of losers. According to these results, we suggest that financial transparency is irrelevant to the inertia and reversal of stock prices in the Shanghai and ...
Specifically, when the market continues in the same state, the momentum profits are 1.055%, 0.188%, and 0.007% for high, median, and low turnover groups, respectively. The reversal phenomenon of the momentum strategy following market transitions, however, decreases with stocks' turnover. The ...
The cross term predicts subsequent returns and captures stock returns’ cross-sectional variation, as other valuation ratios do, which measures the famous size effect, value effect, turnover effect, and reversal effect. To gain insight into the source of the momentum effect conditional on ...