Firm characteristics that drive the momentum pattern in the UK stock market

Previous studies have estimated the company characteristics of previous winners and losers to explore the momentum effect. Using UK data, this study focuses on the characteristics of companies that actually generate the momentum pattern. These are previous winners who keep performing well (WW) and past losers who consistently perform poorly (LL). This study illustrates that WW and LL firms may exhibit market-based characteristics similar to those of young, low-priced, small capitalisation companies, but that there are significant differences. Accounting and fundamental signals (e.g. profitability, value/growth) tend to distinguish winners from losers. Based on firm characteristics, we further develop investment strategies that can outperform significantly the profitability of the momentum strategy.     

Strategic momentum: The effects of repetitive,positional, and contextual momentum on merger activity

This paper defines and examines three types of strategic momentum. Repetitive momentum occurs when organizations repeat previous strategic actions. Postitional momentum occurs when organizations take actions that sustain or extend existing strategic positions. Contextual momentum occurs when general traits, such as organizational structure, shape strategic action in a consistent fashion. Event-history analysis of 262 large firms over a 29-year period indicates that: (1) the occurrence of mergers tends to increase the rate of mergers of the same type (repetitive momentum), and (2) organizational decentralization increases the rate of diversifying mergers (contextual momentum). Product market diversification was found to increase the probability of product extension mergers but not conglomerate mergers, only partly confirming positional momentum. The results indicate that internal momentum can affect merger activity, and suggest the importance of continuing research on the role of inertia in organizational adaptation.     

Competitive price-cutting momentum and pricing reactions

In light of the increasing interest in understanding the behavioral side of competitive decision making, this paper examines how the price-cutting momentum (PCM) created by other competiors' reactions to an initiator's price cut influences pricing decisions. We explore the PCM construct and present the results of a study examining the effect of PCM on the price recommendations of retail grocery pricing executives. We find that PCM influences pricing reactions inboth low-search and high-search markets. Competing explanations of the results are considered.The authors acknowledge the financial support of the Department of Sponsored Programs and Research at the University of South Carolina and the Crane Professorship at the Ohio State University.     

Herding,momentum and investor over-reaction

In this paper we study the impact of noise or quality of prices on returns. The noise arises from herding by market participants beyond what is justified by information. We construct a firm-quarter-specific measure of speculative intensity (SPEC) based on autocorrelation in daily trading volume adjusted for the amount of information available, and find that speculative intensity has a significant positive impact on returns. Both cross-sectional and time series variation in SPEC are consistent with conventional wisdom, and with implications of theories of herding as in DeLong et al. (1990, J Political Econ 98(4):703–738). We find that high-SPEC firms drive the returns to momentum trading strategies and that investor over-reaction is significant only in the case of high-SPEC firms.

基于中国股市的动量策略和反转策略盈利性研究

本文测试了中国股票市场中A股的反转策略和动量策略的盈利性,实证结果证明了短期内的动量收益,而反转收益存在于中长期和长期。在对两类收益的原因探析中,本文证明反转收益部分归因于规模效应。Beta因素对两类收益都没有解释力。本文同时还测试了Fama-French三因素模型,发现包含市场风险、规模差异和账面市场价值比在内的三类公共因素均不能有效解释反转收益和动量收益。     

我国证券投资基金重仓持有股票的市场行为研究

本文依据行为金融的理论和研究方法 ,以基金重仓持有的股票过去 6个月的累积超常收益来构造赢家组合和输家组合 ,研究发现 :首先 ,在未来的 1 2个月 ,赢家组合发生了收益反转现象 ,而输家组合发生了收益惯性现象 ;其次 ,赢家组合和输家组合未来 1 2个月的累积超常收益与组合形成期股票的流通股市值和基金持有该股票的比例成反比 ,但与公司每股收益成正比 ,存在显著的“规模效应”、“基金持股效应”和“EPS效应”。笔者认为 ,导致“赢家变输”和“输家更输”这种现象的原因可能是基金基于市场上投资者“追涨杀跌心理”的“短期套利行为”和基金基于“自我控制心理”的“止损行为”。     

Momentum and industry growth

In this paper, we find that individual stock momentum varies almost monotonically with industry growth. Firms in the highest industry growth quintile have significantly higher momentum compared to those in the lowest growth quintile. We find that the above-average growth group within each quintile has significantly higher momentum profits than the below-average group. Further, momentum profits of the highest industry growth quintile are always higher than those for the universe of firms, suggesting an economic benefit to stratifying firms based on industry growth and relative company growth intra-industry, while following a momentum investment strategy.     

Predicting premiums for the market, size, value, and momentum factors

This paper investigates the out-of-sample predictability of monthly market as well as size, value, and momentum premiums. We use a sample from each of the US and the Swiss stock markets between 1989 and 2007. Using the Swiss sample provides an important new perspective as the repeated evaluation of the same (US) data set leads to data mining problems. To avoid data mining in our predictability study, we test both statistical significance and robustness in the two samples. Our key results are as follows. We find no robust indication that the market premium is predictable, which is also true for the momentum and value premiums. It cannot be excluded that the results from the US may be caused by data mining in light of the results from the Swiss sample. However, the size premium seems to be somewhat predictable, due to the credit spread. We theorize that there are three possible reasons for this rare evidence for predictability. First, predictability may have disappeared over the last decade, as academic research made the respective information public. Second, predictability seems, as we demonstrate, not to be robust to the choice of methodology. Third, robustness tests in the Swiss sample reveal that many of the supposedly statistically significant interrelations from the US sample may be attributed to randomness, which, in that case, would be data mining. Therefore, we think that future discussions of predictability should address the issue of data mining by applying robustness tests.

Value and momentum from investors’ perspective: Evidence from professionals’ risk-ratings

We conduct a controlled experiment with financial professionals to examine more directly whether value and momentum reflect risk factors or mispricing. By eliciting their risk perceptions and return expectations for company stocks, we identify what constitutes a risky investment from the point of investors. Contrary to the risk factor hypothesis, value and momentum stocks are regarded as less risky. However, other factors, such as size and beta, fall in line with their traditional interpretation as risk factors. Consistent with empirical findings, we observe higher return expectations for momentum stocks, raising questions on analysts believing in a risk–return trade-off.     

Overnight stock returns,intraday returns,and firm-specific investor sentiment

In this study, we propose a new index for measuring firm-specific investor sentiment using overnight and intraday stock returns. We use actual equity data to construct the firm-level investor sentiment index and find that the new index has characteristics expected of a sentiment measure. In addition, we propose a novel sentiment-weighted trading strategy and apply it to momentum and short-term reversal strategies. We find that the sentiment-weighted trading strategy generates better performance in momentum and short-term reversal strategies. The sentiment-weighted trading strategy’s superior performance is evidence that our firm-level investor sentiment index possesses predictive powers with regard to future returns.