An Empirical Analysis of Price Momentum Effect in A-share Market
نویسندگان
چکیده
This article sorts the returns of listed companies in A-share market from May 1991 to April 2022 over past J months, selects winners and losers, constructs a zero investment portfolio, holds it for K months. The results showed that there is reversal effect short term momentum medium long term. Only when holding period one month, no obvious pattern can be observed. interested combination losers with month. Next, Fama-MacBeth regression used further verify whether It was found market, significant In addition term, also experience Taking split share structure reform as dividing point, only have mid-term long-term reversals before reform, will short-term after reform. addition, during bull markets, while bear markets neither nor effects, volatile reversals.
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ژورنال
عنوان ژورنال: BCP business & management
سال: 2023
ISSN: ['2692-6156']
DOI: https://doi.org/10.54691/bcpbm.v46i.5102