Understanding idiosyncratic momentum in the Chinese stock market

Lin, Qian

doi:10.1016/j.intfin.2021.101469

Cited by 5 publications

(1 citation statement)

References 52 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…This profitability is not only documented in developed markets but also in emerging markets (e.g., Cakici et al., 2013; Demirer et al., 2015; Fama & French, 2012; Guo et al., 2017; Leite et al., 2018; Naranjo & Porter, 2007; Shi et al., 2015) and among other asset classes, including bonds, commodities, currencies, and exchange‐traded funds (Asness et al., 2013; Daniel & Moskowitz, 2016). Also Q. Lin (2022) document a strong idiosyncratic momentum effect in the cross‐section.…”

Section: Theoretical Background and Hypothesis Developmentmentioning

confidence: 99%

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: Theoretical Background and Hypothesis Developmentmentioning

confidence: 99%

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

Factor momentum in the Chinese stock market

Ma,

Liao,

Jiang

2024

Journal of Empirical Finance

View full text Add to dashboard Cite

Does Portfolio Momentum Beat Analyst Advice?

Lee,

Batten,

Ham

et al. 2023

Abacus

View full text Add to dashboard Cite

We conduct a comparison of three portfolio investment strategies in the US stock market following the implementation of Regulation Fair Disclosure in October 2000. The strategies analyzed are analyst‐recommended, recommendation changes, and momentum portfolios. Across various time periods, company sizes, and industry sectors, the momentum portfolio consistently outperforms the other strategies. Portfolios based on analyst recommendations exhibit poor performance in industries such as consumer staples and materials, which are strongly correlated with oil prices. These industries are susceptible to external demand and supply‐side price shocks that are not adequately captured by analyst recommendations. The findings highlight firstly, the efficacy of the momentum strategy and the limitations of relying solely on analysts’ recommendations, particularly in oil‐dependent sectors; and secondly, the varying dynamics and performance of different investment strategies for investors seeking to optimize their investment decisions across different sectors and market conditions.

show abstract

Understanding idiosyncratic momentum in the Chinese stock market

Cited by 5 publications

References 52 publications

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

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

Factor momentum in the Chinese stock market

Does Portfolio Momentum Beat Analyst Advice?

Contact Info

Product

Resources

About