Residual momentum versus price momentum: evidence from four Asian markets‡

Chao-Shin Chiao, Yu-Jen Hsiao, Jou-Chun Chen and Nguyen Minh An

Asia-Pacific Journal of Accounting & Economics, 2020, vol. 27, issue 6, 717-726

Abstract: This paper investigates the profitability of momentum investment strategies – residual momentum versus price momentum – for common stocks listed in Hong Kong, Singapore, Taiwan, and Thailand. This study shows that the residual-momentum winner and loser on the previous residual returns derived under the CAPM have lower time-varying exposures to the market risk. The residual momentum strategy generates not only higher but also more consistent returns over time than the price momentum strategy. Moreover, the residual momentum effect exists in the four aforementioned stock markets, whereas there is no evidence for the price momentum.

Date: 2020
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DOI: 10.1080/16081625.2018.1474772

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Asia-Pacific Journal of Accounting & Economics is currently edited by Yin-Wong Cheung, Hong Hwang, Jeong-Bon Kim, Shu-Hsing Li and Suresh Radhakrishnan

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