Publication in refereed journal
香港中文大学研究人员 ( 现职)
| 周应峰教授 (金融学系) |
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Web of Sciencehttp://aims.cuhk.edu.hk/converis/portal/Publication/3WOS source URL
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摘要This paper offers an alternative view supporting the risk-based explanation of the momentum effect. Using stochastic dominance criteria, we find that the winners portfolio and the losers portfolio do not dominate each other. In general, the winners portfolio dominates at the right-hand side of the distribution of returns while the losers portfolio dominates at the left-hand side of the distribution. Our empirical results imply that the momentum profits provide neither an arbitrage opportunity nor a welfare improvement for rational investors ex ante. We interpret the evidence as follows: momentum profits are consistent with the notion of market rationality and market efficiency and are likely to be explained by omitted risk factors. Our findings also suggest that one possible reason why some investors prefer losers is because of less downside risk.
着者Wong WK, Thompson HE, Wei SX, Chow YF
期刊名称ADVANCES IN QUANTITATIVE ANALYSIS OF FINANCE AND ACCOUNTING, VOL 4
出版年份2006
月份1
日期1
卷号4
出版社WORLD SCIENTIFIC PUBL CO PTE LTD
页次219 - 254
国际标準书号978-981-270-021-6
电子国际标準书号978-981-277-282-4
语言英式英语
关键词market efficiency; market rationality; Momentum; stochastic dominance
Web of Science 学科类别Business & Economics; Business, Finance
