This paper documents significant abnormal profits for industry momentum strategies in Chinese stock markets. Industry momentum remains profitable even after controlling for lead-lag effect, the January effect, and individual stock momentum. Moreover, momentum profits generated by...

This paper investigates the effect of market segmentation on stock prices and returns in emerging Chinese markets. Under the assumption of infinite investment horizon and representative consumer, I formulate an Intertemporal Capital Asset Pricing Model (ICAPM) with restrictions on share...