How do momentum strategies ‘score’ against individual investors in Taiwan, Hong Kong and Korea?
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DOI: 10.1016/j.ememar.2014.08.001
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Cited by:
- Yao, Shouyu & Qin, Yuanyuan & Cheng, Feiyang & Wu, Ji(George) & Goodell, John.W., 2022. "Missing momentum in China: Considering individual investor preference," Finance Research Letters, Elsevier, vol. 49(C).
- Jungmu Kim & Yuen Jung Park, 2019. "Is Factor Investing Sustainable after Price Impact Costs? The Capacity of Factor Investing in Korea," Sustainability, MDPI, vol. 11(17), pages 1-21, September.
- Yujie Zhu & Tieqi Wang, 2017. "Deriving momentum strategies in Chinese stock Market: Using Gene Expression Programming," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 7(6), pages 1-4.
- Sherif, Mohamed & Chen, Jiaqi, 2019. "The quality of governance and momentum profits: International evidence," The British Accounting Review, Elsevier, vol. 51(5).
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More about this item
Keywords
Emerging stock markets; Momentum; Naive strategies; Return percentiles; Price information; Score function;All these keywords.
JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
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