Momentum strategies and stock returns: Chinese evidence |
| |
| Affiliation: | 1. Department of Economics & Finance, Southern Illinois University Edwardsville, Edwardsville, IL 62026-1102, United States;2. Department of Economics, University of Texas — San Antonio, One UTSA Circle, San Antonio, TX 78249, United States;3. Institute of Financial Studies, Southwestern University of Finance and Economics, Chengdu 610074, China;1. School of Accounting, Finance and Economics, University of Waikato, Hamilton, New Zealand;2. Department of Economics and Finance, UC Business School, University of Canterbury, Christchurch, New Zealand;1. UQ Business School, University of Queensland, Brisbane 4072, Australia;2. Stern School of Business, New York University, New York, NY 10012, USA;1. Department of Economics and Finance, Lamar University, Beaumont, TX 77710, United States;2. ZhiDao Financial Services Co., Ltd., Shenzhen, China;3. Department of Economics & Finance, Southern Illinois University Edwardsville, Edwardsville, IL 62026-1102, United States |
| |
| Abstract: | This paper investigates the profitability of momentum investment strategies for equities listed in the Shanghai Stock Exchange. We also investigate the role of trading volume to examine whether there is any relationship between stock returns and past trading volume for Chinese equities. We find evidence of substantial momentum profits during the period 1995 to 2005 and that momentum is a pervasive feature of stock returns for the market investigated in this paper.Our findings suggest that investors can generate superior returns by investing in strategies unrelated to market movements. We also investigate the potential of past volume to explain momentum profits, and find no strong link between past volume and momentum profits. Our findings also show a strong momentum effect around earnings announcements but the magnitude of these returns is small in relation to the average monthly returns earned in the early months following portfolio formation. |
| |
| Keywords: | |
| 本文献已被 ScienceDirect 等数据库收录！ |
|
