An Empirical Analysis of Industry Momentum in Chinese Stock Markets

被引：21
|
作者：
Su, Dongwei [1 ]
机构：
[1] Jinan Univ, Guangzhou, Guangdong, Peoples R China
来源：
EMERGING MARKETS FINANCE AND TRADE | 2011年 / 47卷 / 04期
基金：
中国国家自然科学基金;
关键词：
asset pricing; behavioral biases; Chinese stock markets; industry returns; momentum; CONTRARIAN PROFITS; TRADING STRATEGIES; BUSINESS-CYCLE; RETURNS; OVERREACTION; INSTITUTIONS; RISK; AUTOCORRELATION; ANATOMY; MODEL;
D O I：
10.2753/REE1540-496X470401
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
This paper documents significant abnormal profits for industry momentum strategies in Chinese stock markets. Industry momentum remains profitable even after controlling for lead-lag effect, the January effect, and individual stock momentum. Moreover, momentum profits generated by industry-specific components are much larger than those generated by common-factor components of the Fama-French three-factor model and a delayed-reaction three-factor model. The findings provide new evidence that momentum profits are due to idiosyncratic risk and investors' underreaction to industry-specific information. The implication is that behavioral biases, market manipulation, and institutional trading are pivotal in explaining why stock prices do not incorporate industry-specific news instantaneously.
引用
收藏
页码：4 / 27
页数：24
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