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| 論文名稱 | Does idiosyncratic risk matter to momentum profits? Evidence from China |
| 發表日期 | 2018-10-31 |
| 論文收錄分類 | 其他 |
| 所有作者 | Wei-Shun Kao, Li-Hsun Wang, Chu-Hsiung Lin, Chi-Hua Huang |
| 作者順序 | 第二作者 |
| 通訊作者 | 否 |
| 刊物名稱 | The Empirical Economics Letters |
| 發表卷數 | 17 |
| 是否具有審稿制度 | 是 |
| 發表期數 | 10 |
| 期刊或學報出版地國別/地區 | NATUSA-美國 |
| 發表年份 | 2018 |
| 發表月份 | 10 |
| 發表形式 | 電子期刊 |
| 所屬計劃案 | 無 |
| 可公開文檔 |
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| 可公開文檔 |
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| 可公開文檔 |
[摘要] :
This study presents results showing that momentum profits exist over medium-term horizons between 3 and 12 months in Chinese stock market, which is a sign of market inefficiency. We show that idiosyncratic risk can explain momentum profits based on a GJR-GARCH(1,1)-M model. The results are robust when we control for investor sentiment.
[英文摘要] :
This study presents results showing that momentum profits exist over medium-term horizons between 3 and 12 months in Chinese stock market, which is a sign of market inefficiency. We show that idiosyncratic risk can explain momentum profits based on a GJR-GARCH(1,1)-M model. The results are robust when we control for investor sentiment.
[參考文獻] :
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Chau, F., R. Deesomsak, and D. Koutmos. 2016. "Does investor sentiment really matter?" International Review of Financial Analysis 48: 221–232.
Chichernea, D.C. and S.L. Slezak. 2013. "Idiosyncratic risk premia and momentum." The Journal of Financial Research 36: 289–412.
Chui, A.C.W., S. Titman, and K.C.J. Wei. 2000. "Momentum, legal systems and ownership structure: An analysis of Asian stock markets." Working paper, University of Texas.
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Hong, H., T. Lim, and J. Stein. 2000. "Bad news travels slowly: Size, analyst ,coverage, and the profitability of momentum strategies." Journal of Finance 55: 265–295.
Li, X., J. Miffre,, C. Brooks, and N. O’Sullivan. 2008. "Momentum profits and time-varying unsystematic risk." Journal of Banking and Finance 32: 541–558.
McLean, R.D. 2010. "Idiosyncratic risk, long‐term reversal, and momentum." Journal of Financial and Quantitative Analysis 45: 883–906.
Morelli, D. 2014. "Momentum Profits and conditional time-varying systematic risk?" International Financial Markets, Institutions and Money 29: 242–255.
