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Book part
Publication date: 17 July 2011

Karen J. Jansen and David A. Hofmann

In a series of studies, we develop and validate an approach to studying momentum fluctuations over the course of organizational change to better understand the dynamics of change…

Abstract

In a series of studies, we develop and validate an approach to studying momentum fluctuations over the course of organizational change to better understand the dynamics of change processes. The first study experimentally examines momentum fluctuations in a controlled change context and explores individual predictors of variance in momentum. The second study utilizes a real organizational setting, examining organizationally relevant predictors of momentum variance and the ability of momentum trends to predict meaningful organizational outcomes. Combined results provide evidence that momentum mapping is a valid approach for researchers and managers exploring processes that unfold over time.

Details

Research in Organizational Change and Development
Type: Book
ISBN: 978-1-78052-022-3

Book part
Publication date: 15 March 2022

Hong-Yi Chen, Chun-Huei Hsu and Sharon S. Yang

This study develops an environment, social, and governance (ESG) momentum strategy by combining information about ESG scores and the momentum effect. This study, subsequently…

Abstract

This study develops an environment, social, and governance (ESG) momentum strategy by combining information about ESG scores and the momentum effect. This study, subsequently, applies the ESG momentum strategy to Taiwanese and Japanese stock markets and investigates the performance of the ESG momentum strategy in each market. Detailed comparisons of the ESG scores and ESG momentum performance between the two markets are conducted. The empirical results show that the ESG momentum strategy can obtain enhanced profits in the Taiwanese market, while the ESG momentum strategy cannot lead to substantial profits in the Japanese market. In addition, the ESG momentum effect in the Taiwanese market can last for three years after portfolio formation. In the Japanese market, the ESG contrarian strategy may deliver better profits than the ESG momentum strategy.

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Advances in Pacific Basin Business, Economics and Finance
Type: Book
ISBN: 978-1-80117-313-1

Keywords

Book part
Publication date: 11 August 2016

Knut F. Lindaas and Prodosh Simlai

We examine the incremental cross-sectional role of several common risk factors related to size, book-to-market, and momentum in size-and-momentum-sorted portfolios. Unlike the…

Abstract

We examine the incremental cross-sectional role of several common risk factors related to size, book-to-market, and momentum in size-and-momentum-sorted portfolios. Unlike the existing literature, which focuses on the conditional mean specification only, we evaluate the common risk factors’ incremental explanatory power in the cross-sectional characterization of both average return and conditional volatility. We also investigate the role of ex-ante market risk in the cross-section. The empirical results demonstrate that the size-and-momentum-based risk factors explain a significant portion of the cross-sectional average returns and cross-sectional conditional volatility of the benchmark equity portfolios. We find that the Fama–French (1993) factors and the ex-ante market risk are priced in the cross-sectional conditional volatility. We conclude that the size-and-momentum-based factors provide a source of risk that is independent of the Fama–French factors as well as ex-post and ex-ante market risk. Our results bolster the risk-based explanation of the size and momentum effects.

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The Spread of Financial Sophistication through Emerging Markets Worldwide
Type: Book
ISBN: 978-1-78635-155-5

Keywords

Book part
Publication date: 19 December 2016

Bob Li, Mong Shan Ee, Yee Ling Boo and Mamunur Rashid

Ever since the publication of the original Jegadeesh and Titman (1993) study, momentum effect has been tested vigorously to validate its pervasiveness for different time periods…

Abstract

Purpose

Ever since the publication of the original Jegadeesh and Titman (1993) study, momentum effect has been tested vigorously to validate its pervasiveness for different time periods and across different markets. In spite of numerous out-of-sample tests, there is one apparent alibi – little research has been devised for steady increasing of Shari’ah compliant stocks.

Methodology/approach

This study is to examine the momentum strategy returns in a global Shari’ah compliant stock setting.

Findings

It finds strong presence of stock momentum returns for Pakistan and Malaysia. And the momentum returns are neither driven by industry momentum nor by the small size stocks. Though no momentum profits are found for the portfolios formed by global Shari’ah compliant stocks, this seems to be largely due to return reversal for the small size Shari’ah compliant stocks.

Originality/value

The strong presence of momentum profits for relatively large Shari’ah compliant stocks is a desirable trait as it indicates that the momentum trading strategies are practical and implementable.

Details

Advances in Islamic Finance, Marketing, and Management
Type: Book
ISBN: 978-1-78635-899-8

Keywords

Book part
Publication date: 9 September 2020

Hai Lin, Xinyuan Stacie Tao, Junbo Wang and Chunchi Wu

This chapter examines momentum in the corporate bond market using a comprehensive data set that includes bonds with different characteristics and provisions. We find that momentum…

Abstract

This chapter examines momentum in the corporate bond market using a comprehensive data set that includes bonds with different characteristics and provisions. We find that momentum exists in a wide range of corporate bonds. The momentum effect is more significant for callable bonds and lower-rated bonds. This effect cannot be explained by standard risk factors and liquidity in the bond market. Bond momentum prevails over time and remains strong even after the corporate bond market becomes more transparent and liquid with establishment of TRACE. The high magnitude of momentum profits casts doubt that they can be explained by risk-based theories.

Details

Advances in Pacific Basin Business, Economics and Finance
Type: Book
ISBN: 978-1-83867-363-5

Keywords

Book part
Publication date: 27 November 2017

Steven A. Dennis, Prodosh Simlai and Wm. Steven Smith

Previous studies have shown that stock returns bear a premium for downside risk versus upside potential. We develop a new risk measure which scales the traditional CAPM beta by…

Abstract

Previous studies have shown that stock returns bear a premium for downside risk versus upside potential. We develop a new risk measure which scales the traditional CAPM beta by the ratio of the upside beta to the downside beta, thereby incorporating the effects of both upside potential and downside risk. This “modified” beta has substantial explanatory power in standard asset pricing tests, outperforming existing measures, and it is robust to various alternative modeling and estimation techniques.

Details

Growing Presence of Real Options in Global Financial Markets
Type: Book
ISBN: 978-1-78714-838-3

Keywords

Book part
Publication date: 1 May 2023

Hsiang-Hsi Liu, Pi-Hsia Hung and Tzu-Hu Huang

This research examines stock traders' disposition effects and contrarian/momentum behavior in the Taiwan Stock Exchange (TWSE). Specifically, we first investigate disposition…

Abstract

This research examines stock traders' disposition effects and contrarian/momentum behavior in the Taiwan Stock Exchange (TWSE). Specifically, we first investigate disposition effects across all trader types and then examine the relationships between disposition effects, trader types, and order characteristics. Next, we explore contrarian and/or momentum behavior and analyze the relationships among the contrarian/momentum behavior, investor type, and order characteristics. Finally, the links among trader types, order characteristics, and investment performance are detected. This chapter yields the following findings. (1) Individual investors exhibit the strongest disposition effects compared to other investors. (2) Foreign investors, investment trusts, and individual investors tend to use large orders to sell loser stocks. (3) Investment trusts are inclined to be momentum traders, while individual investors tend to perform contrarian strategies. (4) Institutional aggressive and large orders perform better than individuals' orders. (5) The performance of foreign investors' selling decisions is better than that of retail investors.

Details

Advances in Pacific Basin Business, Economics and Finance
Type: Book
ISBN: 978-1-80382-401-7

Keywords

Book part
Publication date: 4 April 2024

Yan He, Ruixiang Jiang, Yanchu Wang and Hongquan Zhu

We form portfolios based on return and liquidity and examine the effects of liquidity and other risk factors on asset pricing in the Chinese stock market. Our results show that…

Abstract

We form portfolios based on return and liquidity and examine the effects of liquidity and other risk factors on asset pricing in the Chinese stock market. Our results show that the past loser-and-illiquid stock portfolios tend to outperform the past winner-and-liquid stock portfolios in the 1–12 months holding period. The excess return is significantly associated with the market-wide liquidity factor even when we control the three Fama-French and momentum factors. Cross-sectionally, the liquidity beta significantly affects the excess return even with control of other risk betas and other traditional liquidity proxies.

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Advances in Pacific Basin Business, Economics and Finance
Type: Book
ISBN: 978-1-83753-865-2

Keywords

Book part
Publication date: 1 May 2012

John B. Guerard

Stock selection models often use momentum and analysts’ expectation data. We find that earnings forecast revisions and direction of forecast revisions are more important than…

Abstract

Stock selection models often use momentum and analysts’ expectation data. We find that earnings forecast revisions and direction of forecast revisions are more important than analysts’ forecasts in identifying mispriced securities. Investing with expectations data and momentum variables is consistent with maximizing the geometric mean and Sharpe ratio over the long run. Additional evidence is revealed that supports the use of multifactor models for portfolio construction and risk control. The anomalies literature can be applied in real-world portfolio construction in the U.S., international, and global equity markets during the 1998–2009 time period. Support exists for the use of tracking error at risk estimation procedures.

While perfection cannot be achieved in portfolio creation and modeling, the estimated model returns pass the Markowitz and Xu data mining corrections test and are statistically different from an average financial model that could have been used to select stocks and form portfolios. We found additional evidence to support the use of Arbitrage Pricing Theory (APT) and statistically-based and fundamentally-based multifactor models for portfolio construction and risk control. Markets are neither efficient nor grossly inefficient; statistically significant excess returns can be earned.

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Research in Finance
Type: Book
ISBN: 978-1-78052-752-9

Book part
Publication date: 17 January 2023

Victoria Dobrynskaya and Mikhail Dubrovskiy

The authors consider a variety of cryptocurrency and equity risk factors as potential forces that drive cryptocurrency returns and carry risk premiums. In a cross-section of 2,000…

Abstract

The authors consider a variety of cryptocurrency and equity risk factors as potential forces that drive cryptocurrency returns and carry risk premiums. In a cross-section of 2,000 biggest cryptocurrencies during 2014–2020, only downside market risk, cryptocurrency size and cryptocurrency policy uncertainty factors are systematically priced with significant premiums. Cryptocurrencies, which have greater exposures to these factors, yield higher returns subsequently. Equity market risk, particularly equity downside market risk, appears to be more important than cryptocurrency market risk, suggesting greater linkages between cryptocurrency and equity markets than we used to think. Global and the US equity factors are more relevant for the cryptocurrency market than local factors from other markets. However, there is no evidence that exposure to momentum, volatility and Fama–French factors is compensated by higher returns.

Details

Fintech, Pandemic, and the Financial System: Challenges and Opportunities
Type: Book
ISBN: 978-1-80262-947-7

Keywords

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