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Is Momentum Really Momentum? : International Evidence
https://iuj.repo.nii.ac.jp/records/460
https://iuj.repo.nii.ac.jp/records/4603bd3c420-f77d-4ab7-a297-5780438b4be8
| 名前 / ファイル | ライセンス | アクション |
|---|---|---|
EMS_2011_22 (607.1 kB)
|
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| Item type | 紀要論文 / Departmental Bulletin Paper(1) | |||||
|---|---|---|---|---|---|---|
| 公開日 | 2011-10-01 | |||||
| タイトル | ||||||
| タイトル | Is Momentum Really Momentum? : International Evidence | |||||
| タイトル | ||||||
| タイトル | Is Momentum Really Momentum? : International Evidence | |||||
| 言語 | en | |||||
| 言語 | ||||||
| 言語 | jpn | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | Momentum | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | 52-week High | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | International Stock Markets | |||||
| キーワード | ||||||
| 言語 | en | |||||
| 主題Scheme | Other | |||||
| 主題 | Momentum | |||||
| キーワード | ||||||
| 言語 | en | |||||
| 主題Scheme | Other | |||||
| 主題 | 52-week High | |||||
| キーワード | ||||||
| 言語 | en | |||||
| 主題Scheme | Other | |||||
| 主題 | International Stock Markets | |||||
| 資源タイプ | ||||||
| 資源タイプ識別子 | http://purl.org/coar/resource_type/c_6501 | |||||
| 資源タイプ | departmental bulletin paper | |||||
| 著者 |
Gong, Qiang
× Gong, Qiang× Liu, Ming× Liu, Qianqiu× Gong, Qiang× Liu, Ming× Liu, Qianqiu |
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| 抄録 | ||||||
| 内容記述タイプ | Abstract | |||||
| 内容記述 | Novy-Marx (2010) finds that momentum is primarily driven by stock performance twelve to seven months prior to portfolio formation in the US market. We examine whether this finding holds in international stock markets. In particular, we investigate whether intermediate horizonpast performance is more dominant than 52-week high momentum strategy and recent pastperformance with individual stock data in international markets. Our results indicate that the intermediate past, recent past, and the 52-week high momentum effects are prevalent in international markets. The intermediate horizon past performance during the last twelve to seven months dominates in most of the markets studied. The 52-week high momentum and the recentpast performance during the last six to two months are highly correlated. However, they are not as important as stock performance during the last twelve to seven months. | |||||
| 書誌情報 |
en : Departmental Bulletin Paper 発行日 2011-10-01 |
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