user

Institutional ownership and momentum in the Chinese A-share market

被引：3
|
作者：
Xiong, Tao [1 ,2 ]
Wang, Peng [1 ]
机构：
[1] Southwestern Univ Finance & Econ, Inst Chinese Financial Studies SWUFE, 555 Liutai Ave, Wenjiang 611130, Sichuan, Peoples R China
[2] Chengdu Univ Technol, Engn & Tech Coll, Dept Econ, 222 Xiaoba Rd, Leshan 614000, Sichuan, Peoples R China
来源：
PACIFIC-BASIN FINANCE JOURNAL | 2023年 / 79卷
关键词：
Momentum effect; Chinese stock market; Institutional ownership; Shell contamination; CROSS-SECTION; RETURNS; UNDERREACTION; OVERREACTION; INVESTMENT; BEHAVIOR; SIZE; RISK;
D O I：
10.1016/j.pacfin.2023.102020
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
We propose momentum strategies conditional on institutional ownership in China. Portfolios in the strategies only contain stocks with high institutional ownership to reduce disturbance from individual investors. Noise or irrational trading from individual investors covers up the co-movement of stock prices and blocks the expression of the momentum effect. Unlike the benchmark strategies, which generate statistically insignificant returns, our momentum strategies produce 111 significant returns out of the 144 strategies being tested. The effect is stronger if we consider the shell-value contamination. The existence of the momentum effect conditional on institutional ownership is also confirmed by regressions.
引用
收藏
页数：14
相关论文
共 50 条
  • [21] Environmental Disclosure of Chemical Industry: Evidence from Chinese A-Share Market
    Tang, Jiufang
    Lin, Xiaohua
    Tang, Jiuhong
    [J]. CHINESE JOURNAL OF POPULATION RESOURCES AND ENVIRONMENT, 2009, 7 (01) : 23 - 29
  • [22] The Empirical Research on Monthly Effect of IPO Underpricing in The Chinese A-Share Market
    Bai, Ruyu
    Bao, Wenbin
    [J]. 2019 3RD INTERNATIONAL CONFERENCE ON EDUCATION, MANAGEMENT AND SOCIAL SCIENCE (EMSS 2019), 2019, : 256 - 260
  • [23] Characteristics and mechanisms of the US stock market spillover effects on the Chinese A-share market: Evidence from 6 A-share broad-based and 31 sector indices
    Huang, Junbo
    Tian, Huiting
    Shen, Weibing
    [J]. INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS, 2023, 87
  • [24] The Influence of The Belt and Road on the A-share market
    Chen, Sixiao
    [J]. 2018 7TH INTERNATIONAL CONFERENCE ON SOCIAL SCIENCE, EDUCATION AND HUMANITIES RESEARCH (SSEHR 2018), 2018, : 699 - 704
  • [25] Is the quality of female auditors really better? Evidence based on the Chinese A-share market
    Shixin Yang
    Yunguo Liu
    Qiongdan Mai
    [J]. China Journal of Accounting Research, 2018, (04) : 325 - 350
  • [26] Fund holdings and real earnings management: An empirical analysis of the Chinese A-share market
    Lian, Lanlan
    Zhao, Di
    Dong, Qingli
    [J]. HELIYON, 2024, 10 (16)
  • [27] Is the quality of female auditors really better? Evidence based on the Chinese A-share market
    Yang, Shixin
    Liu, Yunguo
    Mai, Qiongdan
    [J]. CHINA JOURNAL OF ACCOUNTING RESEARCH, 2018, 11 (04) : 325 - 350
  • [28] The Numeric Characteristics of Chinese A-Share Market Index Volatility,Model Simulation,and Forecasting
    Feng Yongfu
    Hua Xia
    Gao Jinkang
    郑舒心
    华夏
    [J]. Social Sciences in China, 2022, (02) : 161 - 179
  • [29] The Numeric Characteristics of Chinese A-Share Market Index Volatility, Model Simulation, and Forecasting
    Feng Yongfu
    Hua Xia
    Gao Jinkang
    [J]. SOCIAL SCIENCES IN CHINA, 2022, 43 (02) : 161 - 179
  • [30] Research on Investor Sentiment Effect on A-Share Market in China Based on Analysis of A-Share Materials
    Ren, Deping
    Chao, Youcong
    Liu, Saiping
    Wen, Fenghua
    [J]. ADVANCES IN COMPUTER SCIENCE, INTELLIGENT SYSTEM AND ENVIRONMENT, VOL 2, 2011, 105 : 385 - +
12345