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Medium-term and Long-term Momentum and Contrarian Effects on China during 1994-2004 被引量:1

Medium-term and Long-term Momentum and Contrarian Effects on China during 1994-2004
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机构地区 School of Management
出处 《Journal of Modern Accounting and Auditing》 2007年第2期63-69,共7页 现代会计与审计(英文版)
基金 This paper is supported by the National Natural Science Foundation of China (NSFC, No.70302012), the New Century Excellent Talents (NCET-04-0596) and the Fok Ying Tung Education Foundation (No.101087).
关键词 动量 产品 处理费用 中国 medium-term momentum long-term momentum contrafian effects transaction costs
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  • 1Carhart Mark M. On Persistence in Mutual Fund Performance [ J]. Journal of Finance, 1997, (52) :57 - 82.
  • 2Changyun Wang. Relative Strength Strategies in China' s Stock Market: 1994 - 2000 [ J ]. Pacific - Basin Finance Journal, 2004, (12) : 159- 177.
  • 3DeBondt, Wemer F M, Thaler Richard H. Does the Stock Market Overreact[J]. Journal of Finance, 1985, (40):793 -805.
  • 4Fama Eugene F, Kenneth R French. Multifactor Explanations of Asset Pricing Anomalies[ J]. Journal of Finance, 1996, (51) :55 - 84.
  • 5Jegadeesh Narasimhan, Sheridan Titman. Returns to Buying Winners and Selling Losers:Implications for Stock Market Efficiency[ J]. Journal of Finance, 1993, (48) :65 - 91.
  • 6Rouwenhorst K Geert. International Momentum Strategies [J]. Journal of Finance, 1998, (53) : 267 - 284.
  • 7Rouwenhorst K Geert. Local Return Factors and Turnover in Emerging Markets[J]. Journal of Finance, 1999, (54) : 1439 - 1464.
  • 8张人骥,朱平方,王怀芳.上海证券市场过度反应的实证检验[J].经济研究,1998,33(5):58-64. 被引量:178
  • 9沈艺峰,吴世农.我国证券市场过度反应了吗?[J].经济研究,1999,34(2):21-26. 被引量:184
  • 10周琳杰.中国股票市场动量策略赢利性研究[J].世界经济,2002,25(8):60-64. 被引量:134

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