Publication in refereed journal
香港中文大学研究人员 ( 现职)
| 程斯教授 (金融学系) |
全文
| 数位物件识别号 (DOI) http://dx.doi.org/10.1017/S0022109016000764 |
引用次数
Web of Sciencehttp://aims.cuhk.edu.hk/converis/portal/Publication/0WOS source URL
其它资讯
摘要A basic intuition is that arbitrage is easier when markets are most liquid. Surprisingly, we find that momentum profits are markedly larger in liquid market states. This finding is not explained by variation in liquidity risk, time-varying exposure to risk factors, or changes in macroeconomic condition, cross-sectional return dispersion, and investor sentiment. The predictive performance of aggregate market illiquidity for momentum profits uniformly exceeds that of market return and market volatility states. While momentum strategies have been unconditionally unprofitable in the United States, in Japan, and in the Eurozone countries in the last decade, they are substantial following liquid market states.
着者AVRAMOV Doron, CHENG Si, HAMEED Allaudeen
期刊名称Journal of Financial and Quantitative Analysis
出版年份2http://aims.cuhk.edu.hk/converis/portal/Publication/016
月份12
卷号51
期次6
出版社Cambridge University Press (CUP)
页次1897 - 1923
国际标準期刊号http://aims.cuhk.edu.hk/converis/portal/Publication/0http://aims.cuhk.edu.hk/converis/portal/Publication/022-1http://aims.cuhk.edu.hk/converis/portal/Publication/09http://aims.cuhk.edu.hk/converis/portal/Publication/0
电子国际标準期刊号1756-6916
语言英式英语
关键词Momentum; Liquidity
