Does short-term momentum exist in China?

被引：3

作者：

Yue, Tian ^{[1
]}

Li, Tianjiao ^{[2
]}

Ruan, Xinfeng ^{[2
]}

机构：

[1] Chongqing Jiaotong Univ, Sch Econ & Management, Chongqing 400074, Peoples R China

[2] Univ Otago, Otago Business Sch, Dept Accountancy & Finance, Dunedin 9054, New Zealand

来源：

PACIFIC-BASIN FINANCE JOURNAL | 2023年 / 77卷

关键词：

Short-term momentum; Short-term reversal; Turnover; China; RISK; PROFITABILITY; STRATEGIES; RETURNS; VOLUME; MODEL;

D O I：

10.1016/j.pacfin.2022.101920

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Medhat and Schmeling (2022) find significant short-term reversal among low-turnover stocks and short-term momentum among high-turnover stocks by double sorting on stocks' previous month's return and share turnover. We replicate their research in the Chinese stock market and find that there is no short-term momentum but only short-term reversal exists in that market. A lack of volume that affects the ability of realized returns to predict firms' fundamentals or investor heterogeneity might cause the absence of short-term momentum in China.

引用

页数：9

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