Size,value, and momentum in developed country equity returns: Macroeconomic and liquidity exposures

The paper investigates value and momentum factors in 23 developed international stock markets. We find that typically value and momentum premia are smaller and more negatively correlated for large market capitalization stocks relative to small. Momentum factors are more highly correlated internationally relative to value. We provide international evidence on three sets of risk exposures of value and momentum returns: macroeconomic risk, funding liquidity risk, and stock market liquidity risk. We find that value returns are typically lower prior to a recession while momentum returns often exhibit little sensitivity. Value returns are typically lower in times of poor funding liquidity, whereas, with notable exceptions, momentum returns are typically unaffected. Lastly, for almost all countries, value returns are high in poor stock market liquidity conditions.     

我国外汇市场动量效应的实证研究——基于改进的MA交易规则

本文构建了改进的MA交易规则,运用13600种策略对我国外汇市场上的动量效应进行了实证检验,发现存在着显著的动量超额收益,证明“有效市场”理论在中国外汇市场上并不成立。同时,这种超额收益也受到了人民币汇率形成机制改革的显著影响,机制改革后随着汇率弹性的增加和市场供求关系的逐渐体现,动量效应有所减弱,市场逐渐向“理性”发展。     

Why Do Large Firms' Prices Anticipate Earnings Earlier than Small Firms' Prices?*

This paper presents evidence that the positive association between firm size and price leads of earnings is not solely a function of private search incentives for firm‐specific information. Specifically, we find that small‐firm prices also lag large‐firm prices with respect to industry‐wide information. Our empirical analysis extends Collins, Kothari, and Rayburn 1987 and Freeman 1987, who document that security‐price leads of earnings are positively associated with market capitalization. In particular, we examine the association between firm size and the timing of security returns for two components of annual earnings changes: the average change for a firm's industry and the firm's idiosyncratic change. We find that large firms' prices have a longer lead than small firms' prices with respect to both components. Large firms' early lead on industry‐wide earnings suggests that returns of large firms predict returns of same‐industry small firms. To test this implication, we construct a portfolio of long (short) positions in small firms when the prior month's returns of large firms in their industry are above (below) average for large firms in other industries. This zero investment portfolio earns 4.5 percent over 12 months.     

要素密集型逆转与贸易获利能力提升——以中美纺织业为例

本文运用灰色聚类法并以中美纺织业为例,研究了产业生产要素密集型的逆转与贸易获利能力的提升问题。研究表明:以2000年中国制造业作为衡量标准,美国的纺织业在2003年从劳动密集型产业逆转成为技术密集型产业,而中国的纺织产业在考察期间一直为劳动密集型产业。文章进一步分析了要素密集型逆转的动因及贸易利得效应,发现在发生要素密集型逆转后美国纺织出口企业的获利能力明显大于中国,表明通过要素密集型逆转实现产业内升级是一条可行的路径选择。     

Expected Accrual Models: The Impact of Operating Cash Flows and Reversals of Accruals

This paper augments the Jones (1991) model with operating cash flows and lagged accruals to evaluate the impact of (1) the negative association between accruals and concurrent cash flows, (2) the positive association between accruals and lagged cash flows, and (3) the reversal of accruals. I find that operating cash flows greatly improve the explanatory and predictive power of the Jones model; but, lagged accruals do not. A market test of the expected and unexpected components of accruals indicates that unexpected accruals are on average informative with respect to concurrent stock returns; however, the market does not fully understand the implications of accruals anticipated at the beginning of the return period.This paper has benefited from helpful comments and suggestions from Tae Hee Choi, In-Kyu Moon, and two anonymous reviewers on earlier versions of this paper. The author gratefully acknowledges the financial support from the Queens School of Business.     

Dynamic time series momentum of cryptocurrencies

This paper examines the momentum effect for twenty cryptocurrencies compared to the US stock market. For this purpose, we implement a dynamic modeling approach to define and test momentum periods that follow a formation period for interday and various intraday price levels. We find evidence that large proportions of the asset classes’ formation periods are followed by momentum periods, strongly supporting the momentum effect. In particular cryptocurrencies have significantly larger and longer momentum periods in all frequencies which we attribute to the lower derivability of their intrinsic value leading to a higher degree of noise traders in the market. A momentum trading strategy based on the identical approach outperforms a buy-hold strategy for both asset classes, while only cryptocurrencies have higher risk-adjusted returns and lower downside risks than a passive investment. We also find critical price levels during structural elements of the momentum period where the volatility shortly but intensively increases and consequently initiates a price impulse in the direction of the momentum.     

The quality of governance and momentum profits: International evidence

This paper examines the presence of momentum (sell past losers and buy past winners) and proposes accountability, level of corruption, and governance effectiveness as a novel explanation for return continuation phenomena in an international setting. In essence, we test the possibility of beating the international stock markets and producing abnormal profits from momentum investing. We found that both accountability and level of corruption are significantly correlated with government effectiveness. Countries and institutional environments with better scores on the accountability and control of corruption indices maintain better levels of governance effectiveness. In addition, through an analysis of the international momentum strategies, the paper shows that the quality of governance as captured by accountability, government effectiveness, and control of corruption, significantly affect the international momentum profits. Overall, the findings explain the presence of momentum and add a fresh dimension to the literature that the quality of governance influences the stability of financial markets, which is of significant importance in understanding pricing effects and stock market anomalies. Our findings are robust, having been subjected to a range of robustness checks.     

Horse race of weekly idiosyncratic momentum strategies with respect to various risk metrics: Evidence from the Chinese stock market

This paper focuses on the horse race of weekly idiosyncratic momentum (IMOM) with respect to various idiosyncratic risk metrics. Using the A-share individual stocks in the Chinese market from January 1997 to December 2017, we first evaluate the performance of the weekly momentum based on raw returns and idiosyncratic returns, respectively. After that the univariate portfolio analysis is conducted to investigate the return predictability with respect to various idiosyncratic risk metrics. Further, we perform a comparative study on the performance of the IMOM portfolios with respect to various risk metrics. At last, we explore the possible explanations to IMOM as well as risk-based IMOM portfolios. We find that 1) there are prevailing contrarian effect and IMOM effect for the whole sample; 2) the negative relations exist between most of the idiosyncratic risk metrics and the cross-sectional stock returns, and better performance is linked to idiosyncratic volatility (IVol) and maximum drawdowns (IMDs); 3) additionally, the IVol-based and IMD-based IMOM portfolios exhibit better explanatory power to the IMOM portfolios with respect to other risk metrics; 4) finally, higher profitability of IMOM as well as IVol-based and IMD-based IMOM portfolios is found to be related to upside market states, high levels of liquidity and high levels of investor sentiment.     

Exploiting commodity momentum along the futures curves

This study examines novel momentum strategies in commodities futures markets that incorporate term-structure information. We show that momentum strategies that invest in contracts on the futures curve with the largest expected roll-yield or the strongest momentum earn significantly higher risk-adjusted returns than a traditional momentum strategy, which only invests in the nearest contracts. Moreover, when incorporating conservative transaction costs we observe that our low-turnover momentum strategy more than doubles the net return compared to a traditional momentum strategy.     

Is default risk the hidden factor in momentum returns? Some empirical results

This paper analyzes the role of default risk in the momentum effect focusing on data from four developed European stock markets (France, Germany, Spain and the United Kingdom). Using a market‐based measure of default risk, we show that it is not the hidden factor behind this effect. While the loser portfolio is characterized by high default risk, small size, high book‐to‐market and illiquidity, characterization of the winner portfolio is somewhat more complex. Given that the momentum strategy is the return differential between the winners and the losers, factors such as the stock market cycle or the evolution of momentum portfolios against their reference point make momentum profits difficult to forecast.