Residual momentum in Japan

被引：37

作者：

Chang, Rosita P. ^{[1
]}

Ko, Kuan-Cheng ^{[2
]}

Nakano, Shinji ^{[3
]}

Rhee, S. Ghon ^{[1
,4
]}

机构：

[1] Univ Hawaii, Honolulu, HI 96822 USA

[2] Natl Chi Nan Univ, Nantou, Taiwan

[3] T&D Asset Management Co Ltd, Tokyo, Japan

[4] Natl Cent Univ, Taoyuan, Taiwan

来源：

JOURNAL OF EMPIRICAL FINANCE | 2018年 / 45卷

关键词：

Residual momentum strategies; Total return momentum strategies; Japanese market; Investor underreaction; Information discreteness; Limited attention; EXPECTED STOCK RETURNS; CROSS-SECTION; PRICING-MODELS; ATTENTION; MARKET; RISK; NEWS; PROFITABILITY; STRATEGIES; ANALYST;

D O I：

10.1016/j.jempfin.2017.11.005

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We demonstrate that the residual momentum strategy, which is constructed to hedge out the risk exposure to the Fama-French (1993) factors, is profitable in Japan for short-term holding periods ranging from three to 12 months. Residual momentum profits over long-term holding periods ranging from two to five years do not reverse, unlike traditional price momentum strategies observed in the U.S. market. The findings in both short- and long-term holding periods are attributed to investor underreaction. A comprehensive index of limited attention supports investor underreaction as an underlying cause of momentum in Japan. (C) 2017 Elsevier B.V. All rights reserved.

引用

页码：283 / 299

页数：17

共 50 条

[11] Japan's, multilateral assistance leadership: Momentum or malaise?
Yasutomo, DT
FACING ASIA - JAPAN'S ROLE IN THE POLITICAL AND ECONOMIC DYNAMISM OF REGIONAL COOPERATION, 2000, : 129 - 146
[12] Occupation-based practice: A new momentum in Japan
Nakamura-Thomas, Hiromi
BRITISH JOURNAL OF OCCUPATIONAL THERAPY, 2018, 81 (07) : 367 - 368
[13] Single axis pointing for underactuated spacecraft with a residual angular momentum
Avanzini, Giulio
Zavoli, Alessandro
De Matteis, Guido
Giulietti, Fabrizio
AEROSPACE SCIENCE AND TECHNOLOGY, 2022, 124
[14] Investment and profitability versus value and momentum: The price of residual risk
Li, Yuming
JOURNAL OF EMPIRICAL FINANCE, 2018, 46 : 1 - 10
[15] Residual Lifetime Risk of Cardiovascular Diseases in Japan
Turin, Tanvir Chowdhury
Rumana, Nahid
Okamura, Tomonori
JOURNAL OF ATHEROSCLEROSIS AND THROMBOSIS, 2011, 18 (06) : 443 - 447
[16] JAPAN: EAST-WEST TIES GAIN MOMENTUM.
Anon
Tunnels and Tunnelling International, 1983, 15 (10): : 32 - 33
[17] Self-Supervised Visual Representation Learning via Residual Momentum
Pham, Trung Xuan
Niu, Axi
Zhang, Kang
Jin, Tee Joshua Tian
Hong, Ji Woo
Yoo, Chang D.
IEEE ACCESS, 2023, 11 : 116706 - 116720
[18] Residual momentum and the cross-section of stock returns: Chinese evidence
Lin, Qi
FINANCE RESEARCH LETTERS, 2019, 29 : 206 - 215
[19] Challenging Residual Contamination of Instruments for Robotic Surgery in Japan
Saito, Yuhei
Yasuhara, Hiroshi
Murakoshi, Satoshi
Komatsu, Takami
Fukatsu, Kazuhiko
Uetera, Yushi
INFECTION CONTROL AND HOSPITAL EPIDEMIOLOGY, 2017, 38 (02): : 143 - 146
[20] THE PHYSICOCHEMICAL PROPERTIES OF RESIDUAL STRENGTH OF VOLCANIC SOILS IN JAPAN
SO, EK
OKADA, F
ENGINEERING PROBLEMS OF REGIONAL SOILS, 1989, : 701 - 706

← 1 2 3 4 5 →