نوسان، نوسانات فردی و پویایی بازار: شواهد از چین Momentum, idiosyncratic volatility and market dynamics: Evidence from China
- نوع فایل : کتاب
- زبان : انگلیسی
- ناشر : Elsevier
- چاپ و سال / کشور: 2018
توضیحات
رشته های مرتبط اقتصاد
گرایش های مرتبط اقتصاد پولی
مجله سرمایه گذاری حوزه اقیانوسیه – Pacific-Basin Finance Journal
دانشگاه School of Accounting – Finance and Economics – University of Waikato – Hamilton – New Zealand
منتشر شده در نشریه الزویر
گرایش های مرتبط اقتصاد پولی
مجله سرمایه گذاری حوزه اقیانوسیه – Pacific-Basin Finance Journal
دانشگاه School of Accounting – Finance and Economics – University of Waikato – Hamilton – New Zealand
منتشر شده در نشریه الزویر
Description
1. Introduction The momentum anomaly was first documented in the U.S. stock markets by Jegadeesh and Titman (1993) who showed that recent winner (loser) stocks continue winning (losing) over the next three to 12 months and that a zero-cost portfolio that buys recent winners and short sells recent losers produced significant abnormal returns. The momentum anomaly has since been documented in several other countries and other asset classes (e.g. Asness, Moskowitz and Pedersen, 2013; Rouwenhorst, 1998). Though the existence of the momentum anomaly is now well accepted, its source and the reason for its persistence are still contentious. Two of the most prominent behavioural explanations of the momentum anomaly include the underreaction story of Barberis, Shleifer and Vishny (1998) and Hong and Stein (1999), and the overconfidence and self-attribution story of Daniel, Hirshleifer and Subrahmanyam (1998). Meanwhile the persistence of these anomalous momentum profits is usually attributed to arbitrage costs. These arbitrage costs come in the form of holding and transaction costs. Holding costs are considered as the primary source of arbitrage costs (Ackert and Tian, 2000; Ben-David and Roulstone, 2005; Pontiff, 2006; Shleifer and Vishny, 1997) while idiosyncratic is risk deemed as the primary holding cost (Pontiff, 2006; Shleifer and Vishny, 1997).
