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Missing momentum in China: Considering individual investor preference

Author

Listed:
  • Yao, Shouyu
  • Qin, Yuanyuan
  • Cheng, Feiyang
  • Wu, Ji(George)
  • Goodell, John.W.

Abstract

We explore the missing momentum effect in the Chinese stock market from the perspective of individual investor preference. Creating a comprehensive individual investor preference index to investigate the missing momentum effect, we find that the momentum effect diminishes toward absence in Chinese-market stocks with particularly high-levels of individual investor preference. In contrast, momentum manifests with decreases in individual investor preference. Contributing to the literature, we provide a new explanation of the missing momentum effect.

Suggested Citation

  • 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).
    • Handle: RePEc:eee:finlet:v:49:y:2022:i:c:s1544612322003348
    DOI: 10.1016/j.frl.2022.103110
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    References listed on IDEAS

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    Citations

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    Cited by:

    1. Eom, Cheoljun & Park, Jong Won, 2023. "Price behavior of small-cap stocks and momentum: A study using principal component momentum," Research in International Business and Finance, Elsevier, vol. 65(C).
    2. Skočir, Matevž & Lončarski, Igor, 2024. "On the importance of asset pricing factors in the relative valuation," Research in International Business and Finance, Elsevier, vol. 70(PB).
    3. Li, Bo & Liu, Zhenya & Teka, Hanen & Wang, Shixuan, 2023. "The evolvement of momentum effects in China: Evidence from functional data analysis," Research in International Business and Finance, Elsevier, vol. 64(C).
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    6. Wang, Nianling & Zhang, Mingzhi & Zhang, Yuan, 2024. "Return prediction: A tree-based conditional sort approach with firm characteristics," Finance Research Letters, Elsevier, vol. 60(C).

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    More about this item

    Keywords

    Financial markets; Market anomalies; Individual investors; Momentum;
    All these keywords.

    JEL classification:

    • G02 - Financial Economics - - General - - - Behavioral Finance: Underlying Principles
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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