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

Hung, C-H.D.; Banerjee, A.

doi:10.1016/j.ememar.2014.08.001

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

Hung, C-H.D.; Banerjee, A.

Authors

C-H.D. Hung

Professor Anurag Banerjee a.n.banerjee@durham.ac.uk
Professor

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.

Citation

Hung, C., & Banerjee, A. (2014). How do momentum strategies ‘score’ against individual investors in Taiwan, Hong Kong and Korea?. Emerging Markets Review, 21, 67-81. https://doi.org/10.1016/j.ememar.2014.08.001

Journal Article Type	Article
Acceptance Date	Aug 12, 2014
Online Publication Date	Aug 19, 2014
Publication Date	Dec 1, 2014
Deposit Date	Oct 24, 2014
Publicly Available Date	Oct 27, 2014
Journal	Emerging Markets Review
Print ISSN	1566-0141
Publisher	Elsevier
Peer Reviewed	Peer Reviewed
Volume	21
Pages	67-81
DOI	https://doi.org/10.1016/j.ememar.2014.08.001
Keywords	Emerging stock markets, Momentum, Naive strategies, Return percentiles, Price information, Score function.
Public URL	https://durham-repository.worktribe.com/output/1418667

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Copyright 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.