- 學位論文
Momentum Strategies:" Evidence from World Emerging Markets
Momentum Strategies:" Evidence from World Emerging Markets
若您是本文的作者，可授權文章由華藝線上圖書館中協助推廣。
摘要
We investigate the probability of momentum trading strategy in 19 emerging markets. In medium-term momentum, the region of Latin America earns a positive significant excess return, but that can be explained by the market and size factor. In short-term momentum, the region of ASIA presents a well international diversification, and earns an anomalous excess return controlling by the market and size factor. The momentum phenomenon in emerging markets differs from the developed markets.
關鍵字
Momentum並列摘要
We investigate the probability of momentum trading strategy in 19 emerging markets. In medium-term momentum, the region of Latin America earns a positive significant excess return, but that can be explained by the market and size factor. In short-term momentum, the region of ASIA presents a well international diversification, and earns an anomalous excess return controlling by the market and size factor. The momentum phenomenon in emerging markets differs from the developed markets.
並列關鍵字
Momentum參考文獻
6. Chan, Louis K., Narasimhan Jegadeesh, and Josef Lakonishok, 1996, Momentum strategies, Journal of Finance 5l, 1681-1713.
1. Allaudeen Hameed and Yuanto Kusnadi, 2002, Momentum strategies: evidence from Pacific basin stock markets, Journal of Financial Research 25, 383-397.
2. Ball, Ray, S. P. Kothari, and Jay Shanken, 1995, Problems in measuring portfolio performance: An application to contrarian investment strategies, Journal of Financial Economics 38, 79-107.
4. Carhart, Mark, 1997, On persistence in mutual fund performance, Journal of Finance 52, 57-82.
5. Chan, K., A. Hameed, and W. Tong, 2000, Profitability of Momentum Strategies in the International Equity Markets, Journal of Financial and Quantitative Analysis, Vol. 35, No. 2, pp. 135-172.