Missing momentum in China: Considering individual investor preference

Yao, Shouyu; Qin, Yuanyuan; Cheng, Feiyang; Wu, Ji; Goodell, John W.

doi:10.1016/j.frl.2022.103110

Cited by 10 publications

(2 citation statements)

References 49 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…Therefore, this study is one of the first attempts that aim at examining the role of both market frictions and stock mispricing in explaining these anomalous premiums in the Chinese context. In this study, we particularly consider momentum returns as although we indeed find an overall reversal effect in the Chinese market, yet this reversal pattern is found insignificant and mainly driven by smaller firms, consistent with Lee et al (2003) and Yao et al (2022). Built on that, we first investigate the role of market frictions in explaining this momentum premium.…”

Section: Introductionmentioning

confidence: 92%

See 1 more Smart Citation

Market frictions and momentum premium: does stock mispricing matter? Evidence from China

Tarek,

Ali,

Mohamed

2023

J Corp Accounting Finance

View full text Add to dashboard Cite

This study examines if both market frictions and stock mispricing provide better explanation of the momentum premium, compared to the conventional asset pricing models. Using a large sample of 3727 companies listed on the Chinese stock market, we show that winner stocks are associated with larger market frictions and stock mispricing. Our findings reveal new empirical evidence that momentum premium can be attributed to market friction risk‐factor but additionally explained by a mispricing component.

show abstract

Section: Introductionmentioning

confidence: 92%

“…(2003) and Yao et al. (2022). Built on that, we first investigate the role of market frictions in explaining this momentum premium.…”

Section: Introductionmentioning

confidence: 96%

Market frictions and momentum premium: does stock mispricing matter? Evidence from China

Tarek,

Ali,

Mohamed

2023

J Corp Accounting Finance

View full text Add to dashboard Cite

show abstract

Investor clientele and intraday patterns in the cross section of stock returns

Chen,

Haboub,

Khan

et al. 2024

Rev Quant Finan Acc

View full text Add to dashboard Cite

This paper examines the existence of a well documented (Heston et al. in J Finance 65:1369–1407) (hereafter HKS 2010) intraday momentum pattern in the cross section of stock returns for three previously un-examined markets outside the US—UK, China and Brazil. While the stocks in UK and Brazil exhibit the pattern, the evidence from China is lacklustre. We utlitlize the presence of dual listed A-shares (dominated by domestic retail investors) and their B- and H-share counterparts (dominated by foreign institutional investors) of the same firms which provide a natural experiment setting to analyse the impact of investor clientele on the proliferation of HKS (2010) pattern. Our findings indicate that pattern is much weaker in A-shares (owned mostly by domestic retail investors) as compared to their B- and H-share counterparts. As a further robustness test we examine the impact of an exogenous shock that leads to an increase in institutional ownership namely the partial index inclusion of A-shares in the Morgan Stanley Capital International (MSCI) Emerging Markets Index. Our findings indicate an increasing level of the manifestation of the intraday pattern upon inclusion of A-shares to the MSCI.

show abstract