Continuous overreaction,insiders trading activities and momentum strategies |
| |
Institution: | 1. CIDMA - Center for R&D Mathematics and Applications, Department of Mathematics, University of Aveiro, Portugal;2. INRIA, Sophia Antipolis - Mediterranée, France |
| |
Abstract: | The paper investigates the influence and explanatory power of aggregate insiders trading activities on momentum trading strategies. We find that insiders trading activities can predict cross-sectional returns and can strengthen the na??ve momentum effects. The risk factors such as size and BM cannot explain the strong momentum effects in our refined momentum strategies. We interpret our findings as that the continuous overreaction causes the mediate term momentum effects and over pricing. In the long term, these overly priced stocks will be corrected with passing time. The correction of over pricing causes long-term reversals. |
| |
Keywords: | |
本文献已被 ScienceDirect 等数据库收录! |
|