scholarly journals A comprehensive investigation into style momentum strategies in China

2020 ◽  
Author(s):  
Chen Su
Keyword(s):  
Stock Market ◽  
Institutional Investors ◽  
Short Sales ◽  
Comprehensive Investigation ◽  
Momentum Strategies ◽  
Style Investing ◽  
Price Momentum ◽  
Institutional Settings ◽  
Momentum Profits ◽  
China Stock Market

AbstractThis study conducts a comprehensive investigation into style momentum strategies—the combination of price momentum strategies based on previous medium-term returns and style investing in terms of firm characteristics—in the China stock market over the period 1994 to 2017. Although we do not find style momentum profits over the first sub-period 1994 to 2006, strong evidence shows that style momentum strategies are profitable over the second sub-period 2007 to 2017, even after controlling for trading costs and various market and firm-specific risks. Importantly, the observed style momentum in the second sub-period is distinguished from price momentum and industry momentum but could be attributed to the improved institutional settings in recent years. Specifically, the fast growth of institutional investors since 2006, along with the introduction of margin trading and short sales in 2010, provides style switchers with more efficient investment vehicles to trade an entire style in the China stock market. Finally, we find that style profits exhibit momentum in a cyclical nature; in particular, style momentum profits are negatively related to market states, implying that it is likely for institutional investors to make profits by constructing style momentum strategies when stock market experiences a major decline.

Risk-Managed Momentum: An Evidence from Indian Stock Market

2021 ◽  
pp. 231971452110230
Author(s):  
Simarjeet Singh ◽  
Nidhi Walia ◽  
Pradiptarathi Panda ◽  
Sanjay Gupta
Keyword(s):  
Stock Market ◽  
Asset Management ◽  
Stock Exchange ◽  
Sharpe Ratio ◽  
Relative Momentum ◽  
Extended Time ◽  
Momentum Strategies ◽  
Momentum Profits ◽  
Indian Stock Market ◽  
Time Frames

Relative momentum strategies yield large and substantial profits in the Indian Stock Market. Nevertheless, relative momentum profits are negatively skewed and prone to occasional severe losses. By taking into consideration 450 stocks listed on the Bombay Stock Exchange, the present study predicts the timing of these huge momentum losses and proposes a simple risk-managed momentum approach to avoid these losses. The proposed risk-managed momentum approach not only doubles the adjusted Sharpe ratio but also results in significant improvements in downside risks. In contrast to relative momentum payoffs, risk-managed momentum payoffs remain substantial even in extended time frames. The study’s findings are particularly relevant for asset management companies, fund houses and financial academicians working in the area of asset anomalies.

scholarly journals An Anecdote of Investor Anxiety and Momentum in China

Complexity ◽  
2020 ◽  
Vol 2020 ◽  
pp. 1-21
Author(s):  
Hung-Wen Lin ◽  
Kun-Ben Lin ◽  
Jing-Bo Huang ◽  
Xia-Ping Cao
Keyword(s):  
Stock Market ◽  
Daily Basis ◽  
Single Market ◽  
Chinese Stock Market ◽  
Essential Factor ◽  
Price Momentum ◽  
Momentum Profits ◽  
Retail Investors ◽  
A Share

We show the effect of investor anxiety on momentum in the Chinese stock market. In this market dominated by retail investors, we examine the momentum profits in 900 types of daily testing periods. We find prevalent price reversals in the long formation and holding periods in the Chinese A-share market. Compared to Goyal and Wahal (2015), Wang and Xie (2010), and Kang et al. (2002) who found no momentum, our novel finding from a daily basis is that the A-share market presents price momentum within the short formation and holding periods. We first test the momentum profits under different strengths of anxiety in the A-share market. The stocks held by the least anxious investors elicit the strongest price momentum, whereas the stocks held by the most anxious investors encounter much weaker price momentum in the A-share market. According to our empirical outcomes, the A-share market overall exhibits higher anxiety and weaker momentum, whereas the B-share market embodies milder anxiety and stronger momentum. From the results of single market and cross-market comparisons, the intrinsic anxiety of retail investors is an essential factor stimulating the Chinese stock market to be prone to price reversals.

Price Momentum in Korea and the Effect of Investors’ Trading

2019 ◽  
Vol 27 (3) ◽  
pp. 329-364
Author(s):  
Kyoim Lee
Keyword(s):  
Positive Feedback ◽  
Institutional Investors ◽  
Individual Investors ◽  
Price Setting ◽  
Medium Term ◽  
Foreign Investors ◽  
Price Momentum ◽  
Momentum Profits ◽  
Large Size ◽  
Feedback Trading

This study investigates domestic individual, institutional and foreign investors’ trading, to test Hong and Stein (1999)’s behavioral explanation that momentum profit is generated as some uninformed investors underreact to information on medium-term prices. Using Hvidkjaer (2006)’s methodology, we examine the respective investors’ trading tendencies reflected in their active price-setting orders. We analyze a special database compiling details on every transaction for the stocks listed on the KSE during 1996:12~2009:08. During 2001~2007, individual investors’ underreaction in trading large-size winner stocks contributes to positive momentum profits. They seem to induce weak negative profits to emerge in 1997~2000, too. Foreign investors underreact to small-size loser stocks, incurring positive momentum profits during 2001~2007. They engage in positive feedback trading, when they trade large-size winner stocks. This trading tendency does not seem to be based on information on firm fundamentals, as we find those winner stocks’ returns are not sustained. Institutional investors’ trading seems to be relatively in line with future returns, but evidences are not strong enough to support they are informed investors. Overall, the behavioral hypothesis on investors’ underreaction seems to explain medium-term momentum profits in Korea, but evidences differing across subsamples suggest possibility of other unknown influences.

Profit Analysis of Short Term Weekly Momentum Strategy in the Korean Stock Market

2015 ◽  
Vol 23 (4) ◽  
pp. 543-569
Author(s):  
Jun Ho Hwang
Keyword(s):  
Financial Crisis ◽  
Stock Market ◽  
Abnormal Returns ◽  
Short Term ◽  
Momentum Strategy ◽  
Momentum Strategies ◽  
Price Limit ◽  
Holding Period ◽  
Momentum Profits ◽  
Korean Stock Market

This paper shows the momentum strategies that selected stocks based on their returns from a past 1 week generate long lasting significant abnormal returns. I observe the negative momentum profit from 1 week momentum portfolio and it disappears when the holding period is longer than 22 week. In addition, I empirically shows that the weekly momentum strategies are able to generate negative profits also after the financial crisis. it is opposite result with literature, reported positive momentum after the financial crisis, I realize this result due to the characteristic of short term weekly momentum and market adjust returns. The price limit is one of the big features of Korean stock market. I consider the set of sample period by change of price limit. I find the positive momentum profits only in the period of narrow price limit range. For the check on the relation between liquidity and profit of momentum strategy, I employ the illiquid measure of Amihud (2002). I find that the strong and long lasting negative momentum profit from illiquid stock portfolio. This result implied that liquidity enhances the profit of momentum.

Momentum anomaly: evidence from the Indian stock market

2017 ◽  
Vol 14 (1) ◽  
pp. 3-22 ◽  
Author(s):  
Supriya Maheshwari ◽  
Raj Singh Dhankar
Keyword(s):  
Stock Market ◽  
Trading Volume ◽  
Investment Strategy ◽  
Momentum Effect ◽  
Momentum Strategies ◽  
Content Type ◽  
Momentum Profits ◽  
The Usa ◽  
Short Run ◽  
Indian Stock Market

Purpose The purpose of this paper is to provide insights into the profitability of momentum strategies in the Indian stock market. This study further evaluates whether the momentum effect is a manifestation of size, value or an illiquidity effect. Design/methodology/approach Monthly stock return data of 470 BSE listed stocks over the sample period from January 1997 to March 2013 were used to create extreme portfolios (winner and loser). The returns of extreme portfolios were evaluated using t-statistics and a risk-adjusted measure. Further checks were imposed by controlling for other potential sources of risk including size, value and illiquidity. Findings The study provides support in favor of momentum profitability in the Indian stock market. In contrast to the literature, momentum profitability is driven by winning stocks, and hence, buying past winning stocks generates higher returns than shorting loosing stocks in the Indian stock market. Strong momentum profits were observed even after controlling for size, value and trading volume of stocks. This suggests that the momentum effect in the Indian stock market is not a manifestation of small size effect, value effect or an illiquidity effect. Practical implications From the practitioner’s perspective, the study indicates that a momentum-based investment strategy in the short run is still persistent and can generate potential profits in the Indian stock market. Originality/value There is little empirical evidence on the momentum profitability, especially in the Indian stock market. The study contributes toward the literature by analyzing the momentum profitability even after controlling for size, value and an illiquidity effect. Some aspects of the momentum effect were observed to be dissimilar from those observed in literature for the USA and other countries. Such findings justify the need for testing the momentum profitability in stock markets other than the USA.

scholarly journals Style Investing and Institutional Investors

2008 ◽  
Vol 43 (4) ◽  
pp. 883-906 ◽  
Author(s):  
Kenneth Froot ◽  
Melvyn Teo
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Strong Evidence ◽  
Institutional Investors ◽  
Style Investing ◽  
Behavioral Theories ◽  
Value Growth

AbstractThis Paper explores the importance and price implications of style investing by institutional investors in the stock market. To analyze styles, we assign stocks to deciles or segments across three style dimensions: size, value/growth, and sector. we find strong evidence that institutional investors reallocate and sector. We find strong evidence that institutional investors reallocate across style groupings more intensively than across random stock groupings. In addition, we show that own segment style inflows and refurns positively forecast future stock returns, which distant segament style inflows and returns forecast negatively. We argue that behavioral theories play a role in explaining these results.

Seasonality in Momentum Profits: Evidence from the Indian Stock Market

2015 ◽  
Vol 4 (3and4) ◽  
Author(s):  
Supriya Maheshwari ◽  
Raj S. Dhankar
Keyword(s):  
Stock Market ◽  
Stock Price ◽  
Stock Exchange ◽  
Practical Implementation ◽  
Momentum Strategies ◽  
Momentum Profits ◽  
Significant Difference ◽  
The Us ◽  
Show Evidence ◽  
Indian Stock Market

The paper investigates Indian momentum profitability along with its performance stability round the year using the stock price data from National Stock Exchange (NSE). Results show evidence in favour of momentum profitability over the sample period from 1997 to 2013. Moreover, the momentum performance is not specific to any particular month suggesting no influence of calendar on momentum anomaly in the Indian stock market, though momentum strategies performed differently in different calendar months, with particularly strong negative returns in the month of May. However, no statistically significant difference was observed among the mean monthly momentum returns across calendar months. Contrary to the US market findings, no January or similar April seasonality is observed in the Indian momentum profits suggesting some unique characteristics of Indian momentum profitability. In nutshell, the results from the study suggest support in favour of practical implementation of momentum strategies throughout the year in the Indian stock market.

Unsystematic Risk Explanation to Momentum Profits in Taiwan

2012 ◽  
Vol 15 (01) ◽  
pp. 1250006 ◽  
Author(s):  
Ching-Ping Wang ◽  
Hung-Hsi Huang ◽  
Kai-Jei Tu
Keyword(s):  
Stock Market ◽  
Regression Models ◽  
Factor Model ◽  
Investment Strategy ◽  
Return Volatility ◽  
Time Varying ◽  
Momentum Strategies ◽  
Momentum Profits ◽  
Fama And French ◽  
Better Than

This study investigates the momentum profits and provides a systematic risk as well as time-varying unsystematic risk explanation, adopting the monthly returns in the Taiwan stock market during 2003–2008 periods. Through the regression models including and combining the CAPM, Fama–French three factor model, GARCH(1,1)-M and TGARCH(1,1)-M, the main results are as follows. First, most of the momentum strategies have not significant positive returns. Next, CAPM as well as Fama and French factors could roughly explain momentum returns. Additionally, it may make some profits likely if the time-varying unsystematic risk is further considered in an investment strategy. Moreover, the return volatility for the portfolio of winners is more sensitive to recent news than the losers. Conversely, the return volatility of the loser is more sensitive to distant news and has a larger response to bad news than the winner. Finally, TGARCH-M related models usually perform better than GARCH-M ones; this infers the presence of leverage effect in Taiwan stock market.

Contrarian and momentum strategies in the China stock market: 1993–2000

2002 ◽  
Vol 10 (3) ◽  
pp. 243-265 ◽  
Author(s):  
Joseph Kang ◽  
Ming-Hua Liu ◽  
Sophie Xiaoyan Ni
Keyword(s):  
Stock Market ◽  
Momentum Strategies ◽  
China Stock Market

scholarly journals PROFITABILITY OF CAPM MOMENTUM STRATEGIES IN THE US STOCK MARKET

2017 ◽  
Vol 18 (2) ◽  
Author(s):  
Terence Tai-Leung Chong ◽  
Qing He ◽  
Hugo Tak-Sang Ip ◽  
Jonathan T. Siu
Keyword(s):  
Stock Market ◽  
Historical Review ◽  
Sharpe Ratio ◽  
Momentum Strategies ◽  
Momentum Profits ◽  
Market Crashes ◽  
The Us ◽  
Sharpe Ratios ◽  
Capm Model ◽  
French Model

This paper provides a historical review of the performance of the risk-adjusted momentum strategies when buying and selling stocks according to the alpha estimates of the CAPM and Fama–French regressions. Our sample covers over 60 million US daily firm-return observations. High Sharpe ratios are obtained under our risk-adjusted strategies. It is also found that stock market crashes have no apparent impact on our momentum profits. Keywords: Momentum Strategies; Sharpe Ratio; Fama-French Model; CAPM Model.

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