The winner–loser effect in Japanese stock returns

This study examines the winner–loser effect using stocks listed on the Tokyo Stock Exchange (TSE) from 1975 to 1997. We uncover significant return reversals dominating the Japanese markets, especially over shorter periods such as 1 month. No momentum effect is observed, however. The 1-month return reversal remains significant even after adjusting for firm characteristics or risk. While the 1-month return reversal is not related to industry classification, it is partially a result of higher future returns to loser stocks with low trading volume. Our results show that investor overreaction may be a possible explanation for the 1-month return reversal in Japan.     

Risk-managed 52-week high industry momentum,momentum crashes and hedging macroeconomic risk

This is the first study to investigate the profitability of Barroso and Santa-Clara’s [J. Financial Econ., 2015, 116, 111–120] risk-managing approach for George and Hwang’s [J. Finance, 2004, 59, 2145–2176] 52-week high momentum strategy in an industrial portfolio setting. The findings indicate that risk-managing adds value as the Sharpe ratio increases, and the downside risk decreases notably. Even after controlling for the spread of the traditional 52-week high industry momentum strategy in association with standard risk factors, the risk-managed version generates economically and statistically significant pay-offs. Notably, the risk-managed strategy is partially explained by changes in cross-sectional return dispersion, whereas the traditional strategy does not appear to be exposed to such economic risks.     

A new strategy using term-structure dynamics of commodity futures

The term structure of commodity futures is important information for traders and investors. Traditional term-structure strategies are static; they tend to use the slope of term structure at a given moment. Instead, our trading strategy uses the change of term structure and generates statistically significant return. It also produces significant abnormal return in excess of the traditional two factors, i.e. the returns from static-slope strategy and daily momentum. Thus, its return includes orthogonal information or excess return that standard static-slope and momentum strategies cannot explain. This suggests a novel risk factor in the asset class of commodity futures or robust trading opportunities.     

平台到生态系统成长的势效应——基于iOS移动操作系统的案例研究

移动互联网的快速兴起不仅推动操作系统平台成为移动通讯产业新的竞争制高点，更加速传统通讯行业竞争格局向操作系统生态竞争转变。现有研究关于平台到生态系统的演进成长机理仍不甚清晰，通过引入平台势概念，描述平台到生态系统的持续成长历程，并对iOS移动操作系统开展探索性案例研究，尝试从持续、动态视角打开平台成长为生态系统过程的“黑箱”。研究发现，平台到生态系统的持续成长不仅存在显著阶段性特征，即平台企业在不同发展阶段不仅会依据平台发展特性、需求和组织情境特征，形成不同战略重点与目标，还蕴含着平台势的复杂积聚过程，平台势持续积聚推动着平台到生态系统的持续演进发展；不同发展阶段下，平台的借势型、造势型和应势型战略行动使平台势变化呈现出从逐渐积聚到逐渐加速积聚，再到积聚速度呈加快—减缓—加快形式的转换过程，从而影响平台到生态系统的演进成长进程。     

Momentum in stock returns: evidence from an emerging stock market

This study examines the presence and sources of momentum profits in the Dhaka stock exchange (DSE). Although the short-term reversal and intermediate-term momentum are found to be evident, short-term reversal is not as consistent and significant as intermediate-term momentum. Further examination shows that momentum profits in the DSE cannot be explained by the rational source like market factor but can be explained by the size factor. We argue that presence of large number of small stocks and lack of arbitrage opportunity could be the possible causes of momentum effect in the DSE.     

Stock Price Reaction to Daily Limit Moves: Evidence From the Taiwan Stock Exchange

This paper tests the overreaction hypothesis by examining the price behavior following daily limit moves. The sample includes all listed firms on the Taiwan Stock Exchange for the period 1971—93. There are significant price reversals following the limit moves for both the up-limit and the down-limit cases. The price reversals cannot be attributed to the size effect. When the size effect is adjusted for, the price reversals remain significant.     

Is Cost–Benefit Analysis Anomaly-Proof?

In this paper we examine whether cost–benefit analysis is anomaly-susceptible or anomaly-proof. To do this, we address four questions. These are, which anomalies, or problems seem most troublesome for CBA? What coping strategies does the analyst adopt to address these problems? Do these adaptation strategies create new problems? And finally, does adopting these strategies invalidate the results of CBA, or reduce the power of its advice? The anomalies we consider are (i) the observed differences between willingness to pay and willingness to accept compensation measures of value; (ii) valuation given information limits, preference uncertainty and preference construction; (iii) hypothetical market bias; (iv) risk perceptions; and (v) risk and preference reversals. We focus our discussion on the estimation of non-market environmental benefits and costs.     

Momentum strategies with stock index exchange-traded funds

Previously reported momentum profits may not be available to individual investors who have more trading constraints. Therefore, I examine the profitability of momentum strategies with international iShares and US sector exchange-traded funds (ETFs) traded on the NYSE. The index ETFs provide individual investors easy access to international stock markets and US sectors for asset allocations. Using cross-sectional momentum strategies, in contrast to prior research, I find that momentum profits are insignificant for the late 1990s–2014 period. Few country and industry ETFs yield positive results using time series momentum, and the overall performance is worse than the buy-and-hold strategy. Time series momentum offers significant profits during the 2008 global financial crisis, but the profits decline sharply for the post-crisis period.     

卖空约束下动量策略在牛市中的盈利性分析

众多实证研究发现,通过持有赢者组合多头和输者组合空头的动量套利策略可以获取显著的超额收益。考虑到我国A股市场卖空约束,选取沪深300样本股和中小板股票设置不同的对照组和投资期限,采用假设检验方法分析了2005年股改以来两次牛市行情中单一赢者组合及输者组合多头策略的盈利性特征,并检验了A股市场中是否存在动量套利交易的盈利模式。实证显示,即使不考虑交易成本,两种多头策略也都很难有显著的高于样本总体的收益率。