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

被引：2
|
作者：
Tarek, Amira [1 ,2 ]
Ali, Heba [1 ]
Mohamed, Ehab K. A. [1 ]
机构：
[1] German Int Univ, Accounting & Finance, Cairo, Egypt
[2] German Int Univ, Berlin, Germany
来源：
JOURNAL OF CORPORATE ACCOUNTING AND FINANCE | 2024年 / 35卷 / 02期
关键词：
asset pricing; China; market frictions; momentum strategy; stock mispricing; CROSS-SECTION; INFORMATION ASYMMETRY; IDIOSYNCRATIC RISK; PRICE DELAY; PROFITABLE PREDICTABILITY; EMERGING MARKETS; LIQUIDITY; SIZE; RETURNS; OVERREACTION;
D O I：
10.1002/jcaf.22670
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
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.
引用
收藏
页码：50 / 77
页数：28
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