Momentum Effect and Market Conditions Evidence from Chinese Real Estate Stocks

被引：1
|
作者：
Lee, Jen-Sin [1 ]
Kuo, Chin-Tai [2 ]
机构：
[1] I Shou Univ, Dept Finance, Kaohsiung, Taiwan
[2] Natl Kaohsiung First Univ Sci & Technol, Management, Kaohsiung, Taiwan
来源：
CHINESE ECONOMY | 2010年 / 43卷 / 02期
关键词：
D O I：
10.2753/CES1097-1475430206
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
The difference in firm-level momentum effects is investigated under bullish and bearish market conditions for Chinese real estate stocks, using panel data with a least-squares dummy variable. The results suggest that the momentum effect has different patterns in different market conditions for a shorter momentum horizon and that the momentum strategy can be only implemented successfully in a bullish market.
引用
收藏
页码：70 / 94
页数：25
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