Firm Attributes and Momentum Strategies in China

Lin Yu

Chinese Economy, 2017, vol. 50, issue 1, 59-77

Abstract: This study investigates the momentum and reversal phenomenon in China, based on the most up-to-date data. It shows that Chinese stock market experiences barely momentum effect, but the reversal effect is increasingly significant in the long horizon. Additionally, two risk proxies, size and research and development expense, are employed to explain momentum and reversal effect. It shows that the returns of large stocks are more likely to be persistent, while that of small firms are more likely to reverse. Moreover, R&D investment reduces reversal effect, especially for small firms.

Date: 2017
References: Add references at CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/10.1080/10971475.2016.1211905 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:mes:chinec:v:50:y:2017:i:1:p:59-77

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/MCES20

DOI: 10.1080/10971475.2016.1211905

Access Statistics for this article

More articles in Chinese Economy from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().