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Momentum and behavioral finance
Du, Ding - In: Managerial Finance 38 (2012) March, pp. 364-379
Purpose – The purpose of this paper is to re-examine the sources of momentum profits by focusing on momentum in monthly … – Different from previous studies, it is found that momentum may have multiple sources, and that risk or behavioral biases in … isolation may not be sufficient to explain momentum. Practical implications – The paper's finding that momentum may be at least …
Persistent link: https://www.econbiz.de/10010540357
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Accrued capital gains and ex-dividend day pricing
Whitworth, Jeff; Zhang, Yi - In: Managerial Finance 36 (2010) August, pp. 680-702
PPurpose – The purpose of this paper is to show how recent capital gains affect ex-dividend stock pricing. Traditional models assume that investors are motivated to sell a stock before its ex-date to avoid paying higher taxes on dividends. However, if a stock has appreciated significantly,...
Persistent link: https://www.econbiz.de/10009275383
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Expected return, liquidity risk, and contrarian strategy: evidence from the Tokyo Stock Exchange
Kubota, Keiichi; Takehara, Hitoshi - In: Managerial Finance 36 (2010) August, pp. 655-679
Purpose – The purpose of this paper is to determine the best conditional asset pricing model for the Tokyo Stock Exchange sample by utilizing long-run daily data. It aims to investigate whether there are any other firm-specific variables that can explain abnormal returns of the estimated asset...
Persistent link: https://www.econbiz.de/10009275419
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Foreign institutional industrial herding in Taiwan stock market
Chen, Yu-Fen; Yang, Sheng-Yung; Lin, Fu-Lai - In: Managerial Finance 38 (2012), pp. 325-340
and out of the same industries. Second, they were momentum traders in the tranquil period from 2002 to 2006 and contrarian …
Persistent link: https://www.econbiz.de/10010814895
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Do momentum strategies work? Australian evidence
Drew, Michael E.; Veeraraghavan, Madhu; Ye, Min - In: Managerial Finance 33 (2007), pp. 772-787
Purpose -The purpose of this paper is to investigate the profitability of momentum investment strategy and the …. Findings - A strong momentum effect for the Australian market during the period 1988 through 2002 is observed. Further …, momentum plays an important role in providing information about stocks. Past trading volume appears to predict both the …
Persistent link: https://www.econbiz.de/10010755932
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Momentum and behavioral finance
Du, Ding - In: Managerial Finance 38 (2012) March, pp. 364-379
Purpose – The purpose of this paper is to re-examine the sources of momentum profits by focusing on momentum in monthly … – Different from previous studies, it is found that momentum may have multiple sources, and that risk or behavioral biases in … isolation may not be sufficient to explain momentum. Practical implications – The paper's finding that momentum may be at least …
Persistent link: https://www.econbiz.de/10010757789
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Sources of momentum profits: bootstrap methods
Nakhli, Mohamed Sahbi; Belkacem, Lotfi - In: Managerial Finance 39 (2013), pp. 607-619
Purpose – The purpose of this paper is to test the performance of momentum strategies and identify the sources of their … profits. Design/methodology/approach – To identify the main source of momentum profits, first, the bootstrap method with … are the main source of momentum profits. Originality/value – To ensure the random effect of the draws, the authors develop …
Persistent link: https://www.econbiz.de/10010709744
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Sources of momentum profits: bootstrap methods
Nakhli, Mohamed Sahbi; Belkacem, Lotfi - In: Managerial Finance 39 (2013), pp. 607-619
Purpose – The purpose of this paper is to test the performance of momentum strategies and identify the sources of their … profits. Design/methodology/approach – To identify the main source of momentum profits, first, the bootstrap method with … are the main source of momentum profits. Originality/value – To ensure the random effect of the draws, the authors develop …
Persistent link: https://www.econbiz.de/10010691528
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Do momentum strategies work? Australian evidence
Drew, Michael E.; Veeraraghavan, Madhu; Ye, Min - In: Managerial Finance 33 (2007) 10, pp. 772-787
Purpose – The purpose of this paper is to investigate the profitability of momentum investment strategy and the …. Findings – A strong momentum effect for the Australian market during the period 1988 through 2002 is observed. Further …, momentum plays an important role in providing information about stocks. Past trading volume appears to predict both the …
Persistent link: https://www.econbiz.de/10014939950
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Expected return, liquidity risk, and contrarian strategy: evidence from the Tokyo Stock Exchange
Kubota, Keiichi; Takehara, Hitoshi - In: Managerial Finance 36 (2010) 8, pp. 655-679
Purpose – The purpose of this paper is to determine the best conditional asset pricing model for the Tokyo Stock Exchange sample by utilizing long‐run daily data. It aims to investigate whether there are any other firm‐specific variables that can explain abnormal returns of the estimated...
Persistent link: https://www.econbiz.de/10014940122