C-H.D. Hung
How do momentum strategies ‘score’ against individual investors in Taiwan, Hong Kong and Korea?
Hung, C-H.D.; Banerjee, A.
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.
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