Industry Momentum Strategies in A-shares Market
نویسندگان
چکیده
منابع مشابه
Profitability of Momentum and Contrarian Strategies Based on Trading Volume in Tehran Stock Exchange: A Comparison of Emerging Market
In this study, the profitability of contrarian and momentum strategies were traded in mid- term based on trading volume. The stocks were categorized into three parts (high, middle and low) at the outset. Then, the relationship between excess return with three components such as cross-sectional risk, lead-lag effect and time-series pattern were examined based on Jegadeesh and Titman approach.The...
متن کاملContrarian and momentum strategies in China stock market: 1993-2000
Using “A” shares accessible only to local investors (who account for 99% of stock investors in China), this paper tests if short-horizon contrarian and intermediate-horizon investment strategies generate abnormal profits. We find statistically significant abnormal profits for both the arbitrage portfolio-investment strategies. Detailed analysis indicates that: (1) an absolute dominance of non-i...
متن کاملImpact of momentum on stock returns in different market conditions
The purpose of this study is to compare the impacts of momentum on stock returns of companies listed in Tehran Stock Exchange in different market conditions. For this purpose, the sample size is 120 months from 2008 to 2017. The research hypotheses are estimated using multivariate linear regression using time series method. Based on the results of the hypotheses test, the momentum in each of th...
متن کاملProfitability of Contrarian and Momentum Strategies and Market Stability
This paper proposes a continuous-time heterogeneous agent model of investor behaviour consisting of fundamentalist, contrarian, momentum and market maker strategies to study their impact on market stability and profitability. The underlying stochastic delay integro-differential equation model provides a unified approach to model different time horizons of momentum and contrarian strategies, whi...
متن کاملSome Empirical Regularities in Market Shares
W present some empirical regularities in the market shares of brands. Our cross-sectional data on market shares consists of 1,171 brands in 91 product categories of foods and sporting goods sold in the United States. One of our results is that the pattern of market shares for each of the categories (many of which are fundamentally dissimilar, such as breakfast cereals and rifles) is represented...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Advances in economics, business and management research
سال: 2022
ISSN: ['2352-5428']
DOI: https://doi.org/10.2991/978-94-6463-052-7_126