Momentum Effect Differs Across Stock Performances: Chinese Evidence

doi:10.1007/s10255-014-0290-2

	Momentum Effect Differs Across Stock Performances: Chinese Evidence
	Li, Zhao-yuan ; Liu, Si-bo ; Tian, Mao-zai
	2014
发表期刊	ACTA MATHEMATICAE APPLICATAE SINICA-ENGLISH SERIES
卷号	30 期号:2 页码:279-288
摘要	Prior empirical studies find positive and negative momentum effect across the global nations, but few focus on explaining the mixed results. In order to address this issue, we apply the quantile regression approach to analyze the momentum effect in the context of Chinese stock market in this paper. The evidence suggests that the momentum effect in Chinese stock is not stable across firms with different levels of performance. We find that negative momentum effect in the short and medium horizon (3 months and 9 months) increases with the quantile of stock returns. And the positive momentum effect is observed in the long horizon (12 months), which also intensifies for the high performing stocks. According to our study, momentum effect needs to be examined on the basis of stock returns. OLS estimation, which gives an exclusive and biased result, provides misguiding intuitions for momentum effect across the global nations. Based on the empirical results of quantile regression, effective risk control strategies can also be inspired by adjusting the proportion of assets with past performances.
关键词	chinese stock market investment strategy momentum effect quantile regression
DOI	10.1007/s10255-014-0290-2
收录类别	SCI ; SCIE
ISSN	0168-9673
语种	英语
WOS研究方向	Mathematics
WOS类目	Mathematics, Applied
WOS记录号	WOS:000334390200002
出版者	SPRINGER HEIDELBERG
原始文献类型	Article
EISSN	1618-3932
引用统计	被引频次[WOS]：0 [WOS记录] [WOS相关记录]
文献类型	期刊论文
条目标识符	http://ir.lzufe.edu.cn/handle/39EH0E1M/13699
专题	统计与数据科学学院
作者单位	1.Univ Hong Kong, Dept Stat & Actuarial Sci, Hong Kong, Hong Kong, Peoples R China; 2.Lingnan Univ, Dept Finance & Insurance, Tuen Mun, Hong Kong, Peoples R China; 3.Renmin Univ China, Sch Stat, Ctr Appl Stat, Beijing 100872, Peoples R China; 4.Lanzhou Univ Finance & Econ, Sch Stat, Lanzhou 730101, Peoples R China
推荐引用方式 GB/T 7714	Li, Zhao-yuan,Liu, Si-bo,Tian, Mao-zai. Momentum Effect Differs Across Stock Performances: Chinese Evidence[J]. ACTA MATHEMATICAE APPLICATAE SINICA-ENGLISH SERIES,2014,30(2):279-288.
APA	Li, Zhao-yuan,Liu, Si-bo,&Tian, Mao-zai.(2014).Momentum Effect Differs Across Stock Performances: Chinese Evidence.ACTA MATHEMATICAE APPLICATAE SINICA-ENGLISH SERIES,30(2),279-288.
MLA	Li, Zhao-yuan,et al."Momentum Effect Differs Across Stock Performances: Chinese Evidence".ACTA MATHEMATICAE APPLICATAE SINICA-ENGLISH SERIES 30.2(2014):279-288.

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