How do momentum strategies 'score' against individual investors in Taiwan, Hong Kong and Korea?

被引：3

作者：

Hung, Chi-Hsiou D. ^{[1
]}

Banerjee, Anurag N. ^{[2
]}

机构：

[1] Univ Glasgow, Adam Smith Business Sch, Glasgow G12 8QQ, Lanark, Scotland

[2] Univ Durham, Sch Business, Durham DH1 3HP, England

来源：

EMERGING MARKETS REVIEW | 2014年 / 21卷

关键词：

Emerging stock markets; Momentum; Naive strategies; Return percentiles; Price information; Score function;

D O I：

10.1016/j.ememar.2014.08.001

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We compare the momentum strategies to "naive" uninformed strategies in Taiwan, Hong Kong, and Korea. The high participation of individual investors in these economies makes it an ideal setting to use the score function proposed by Banerjee and Hung (BH, 2011). As in BH we find that the average scores of the momentum profits in these markets are close to zero. In contrast to BH's finding that in the U.S. market the winner stocks get significantly positive scores, we find that in all the three markets the scores of the winner portfolio are statistically insignificant. (C) 2014 Elsevier B.V. All rights reserved.

引用

页码：67 / 81

页数：15

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