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How do momentum strategies ‘score’ against individual investors in Taiwan, Hong Kong and Korea?

Hung, C.-H.D. and Banerjee, A. N. (2014) 'How do momentum strategies ‘score’ against individual investors in Taiwan, Hong Kong and Korea?', Emerging markets review., 21 . pp. 67-81.

Abstract

We compare the momentum strategies to “naive” uninformed strategies in Taiwan, Hong Kong, and Korea. The high participation of individual investors in these economies makes it an ideal setting to use the score function proposed by Banerjee and Hung (BH, 2011). As in BH we find that the average scores of the momentum profits in these markets are close to zero. In contrast to BH's finding that in the U.S. market the winner stocks get significantly positive scores, we find that in all the three markets the scores of the winner portfolio are statistically insignificant.

Item Type:Article
Keywords:Emerging stock markets, Momentum, Naive strategies, Return percentiles, Price information, Score function.
Full text:(AM) Accepted Manuscript
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Status:Peer-reviewed
Publisher Web site:http://dx.doi.org/10.1016/j.ememar.2014.08.001
Publisher statement:NOTICE: this is the author’s version of a work that was accepted for publication in Emerging Markets Review. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Emerging Markets Review, 21, 2014, 10.1016/j.ememar.2014.08.001.
Record Created:27 Oct 2014 10:05
Last Modified:27 Oct 2014 10:17

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