Publication in refereed journal
香港中文大学研究人员 ( 现职)
| 郑会荣教授 (金融学系) |
全文
| 数位物件识别号 (DOI) http://dx.doi.org/10.1016/j.iref.2010.03.006 |
引用次数
Web of Sciencehttp://aims.cuhk.edu.hk/converis/portal/Publication/7WOS source URL
其它资讯
摘要This paper investigates whether momentum trading strategies are profitable in the Hong Kong stock market, and examines the sources of such profitability. Momentum portfolios are significantly profitable in the intermediate term in Hong Kong, but the profits become insignificant after risk adjustment by the Chordia and Shivakumar (2001) model. The stock-specific return strategy and factor-related return strategy are analyzed to examine which portion of the total return causes stocks to enter extreme portfolios. The Chordia and Shivakumar factor-related return strategy obtains profits with a magnitude that is close to that which is attained by the total return momentum strategy. Additional evidence further supports the view that the Chordia and Shivakumar model captures momentum profits. (C) 2010 Elsevier Inc. All rights reserved.
着者Cheng JW, Wu HF
期刊名称INTERNATIONAL REVIEW OF ECONOMICS & FINANCE
出版年份2010
月份10
日期1
卷号19
期次4
出版社ELSEVIER SCIENCE BV
页次52http://aims.cuhk.edu.hk/converis/portal/Publication/7 - 538
国际标準期刊号1059-0560
电子国际标準期刊号18http://aims.cuhk.edu.hk/converis/portal/Publication/73-8036
语言英式英语
关键词Factor-related return strategy; Hong Kong stock market; Momentum trading; Risk-adjusted return; Stock-specific return strategy
Web of Science 学科类别Business & Economics; Business, Finance; BUSINESS, FINANCE; Economics; ECONOMICS
