Momentum, reversal and overreaction: Empirical results from chinese stock market

被引：0
|
作者：
He, Yunlong [1 ]
Tan, Jianwei [1 ]
机构：
[1] Univ Sci & Technol, Sch Management, Changsha 410076, Peoples R China
来源：
Sixth Wuhan International Conference on E-Business, Vols 1-4: MANAGEMENT CHALLENGES IN A GLOBAL WORLD | 2007年
关键词：
momentum strategy; contrarian strategy; behavioral finance; systematic risk; forming period; holding period;
D O I：
暂无
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
Using data from 1994 to 2004 in Chinese Stock Market, this paper makes an empirical research on the profitability of momentum and contrarian strategies, The empirical evidence suggests that there are outstanding contrarian profits, and then the mean of the winners and losers are remarkable of reversal in kinds of contrarian strategies. Furthermore, the investors in Chinese Stock Market are remarkable of overreaction. On the other hand, there is a high weighting and fierce systematic risk in Chinese Stock Market.
引用
收藏
页码：1809 / 1814
页数：6
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