منابع مشابه
Investor Sentiment and Price Momentum
This paper sheds empirical light on whether investor sentiment affects the profitability of price momentum strategies. We hypothesize that when investors are optimistic, their expectations will be more miscalibrated relative to those obtained from objective probabilities, and arbitrage will be more difficult with short-selling constraints. Our results show that momentum rises only when investor...
متن کاملPrice Momentum and Idiosyncratic Volatility
We show that stocks with higher idiosyncratic volatility display greater price momentum; a relation which is economically large, statistically significant, and robust. Stocks with higher idiosyncratic volatility also experience quicker and larger reversals. These findings are consistent with the view that momentum profits are attributable to underreaction to firm-specific information. Our findi...
متن کاملPrice Momentum and Trading Volume
This study shows that past trading volume provides an important link between “momentum” and “value” strategies. Specifically, we find that firms with high ~low! past turnover ratios exhibit many glamour ~value! characteristics, earn lower ~higher! future returns, and have consistently more negative ~positive! earnings surprises over the next eight quarters. Past trading volume also predicts bot...
متن کاملStock Price Momentum Modeling: A Grounded Theory Approach
Recently, understanding the anomalies in financial markets have severely chal-lenged the efficient market hypothesis (EMH). The price momentum is one of the anomalies described as the unexplained short-term return by Fama and French (1996). The present research strives for modeling the price momentum of winner stock in the Iranian capital market. The grounded theory method was used to explain t...
متن کاملGradual Information Diffusion and Asset Price Momentum
Gradual information diffusion model predicts that as private information travels across the population, pricing accuracy would improve and asset prices would exhibit momentum as a result. In laboratory markets I investigate the market’s aggregation capacity in response to varying proportions of informed traders as a consequence of information diffusion. The results demonstrate that pricing erro...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2013
ISSN: 1556-5068
DOI: 10.2139/ssrn.2287848