Residual momentum in Japan

被引：37

作者：

Chang, Rosita P. ^{[1
]}

Ko, Kuan-Cheng ^{[2
]}

Nakano, Shinji ^{[3
]}

Rhee, S. Ghon ^{[1
,4
]}

机构：

[1] Univ Hawaii, Honolulu, HI 96822 USA

[2] Natl Chi Nan Univ, Nantou, Taiwan

[3] T&D Asset Management Co Ltd, Tokyo, Japan

[4] Natl Cent Univ, Taoyuan, Taiwan

来源：

JOURNAL OF EMPIRICAL FINANCE | 2018年 / 45卷

关键词：

Residual momentum strategies; Total return momentum strategies; Japanese market; Investor underreaction; Information discreteness; Limited attention; EXPECTED STOCK RETURNS; CROSS-SECTION; PRICING-MODELS; ATTENTION; MARKET; RISK; NEWS; PROFITABILITY; STRATEGIES; ANALYST;

D O I：

10.1016/j.jempfin.2017.11.005

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We demonstrate that the residual momentum strategy, which is constructed to hedge out the risk exposure to the Fama-French (1993) factors, is profitable in Japan for short-term holding periods ranging from three to 12 months. Residual momentum profits over long-term holding periods ranging from two to five years do not reverse, unlike traditional price momentum strategies observed in the U.S. market. The findings in both short- and long-term holding periods are attributed to investor underreaction. A comprehensive index of limited attention supports investor underreaction as an underlying cause of momentum in Japan. (C) 2017 Elsevier B.V. All rights reserved.

引用

页码：283 / 299

页数：17

共 39 条

[11] Frog in the Pan: Continuous Information and Momentum [J].