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Medium-term and Long-term Momentum and Contrarian Effects on China during 1994-2004 被引量:1
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作者 DU Xing-qiang NIE Zhi-ping 《Journal of Modern Accounting and Auditing》 2007年第2期63-69,共7页
We examine momentum and contrarian effects in China's stock market during 1994-2004 and find that no medium momentum effects exist. Meanwhile, contrarian strategy works effectively over the horizon of 18-36 months. 1... We examine momentum and contrarian effects in China's stock market during 1994-2004 and find that no medium momentum effects exist. Meanwhile, contrarian strategy works effectively over the horizon of 18-36 months. 1-month gap for avoiding bid-ask bounce and lead-lag effect make no considerable change to our empirical results. Transaction costs seem to have no significant impact on contrarian strategies' profit. 展开更多
关键词 medium-term momentum long-term momentum contrafian effects transaction costs
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BM(book-to-market ratio) factor: mediumterm momentum and long-term reversal
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作者 Liu Wei-qi Zhang Jingxing 《Financial Innovation》 2018年第1期1-29,共29页
To explain medium-term momentum and long-term reversal,we use the difference between the optional model and the CAPM model to construct a winner-loser portfolio.According to the CAPM model’s zero explanatory ability ... To explain medium-term momentum and long-term reversal,we use the difference between the optional model and the CAPM model to construct a winner-loser portfolio.According to the CAPM model’s zero explanatory ability with respect to stock market anomalies,we obtain an anomaly interpretative model.This study shows that this anomaly interpretative model can explain stock market perceptions and medium-term momentum.Most importantly,BM is a critical factor in the model’s explanatory ability.We present a robustness test,which includes selecting new sample data,adding new auxiliary variables,changing sample years,and adding industry fixed effects.In general,the BM effect does have considerable explanatory power in medium-term momentum and long-term reversal. 展开更多
关键词 Stock market volatility medium-term momentum long-term reversal holding period formation period book-to-market ratio return on equity
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